Which one of the following is a test of heteroscedasticity?
Show Hint
- White test
- Jarque-Bera test
- Breusch-Godfrey test
- Ljung-box test
The Correct Option is A
Solution and Explanation
Heteroscedasticity refers to the condition in which the variance of the errors is not constant across observations. Detecting heteroscedasticity is important in regression analysis because it can affect the validity of statistical tests and estimates.
Step 2: Explanation of the options.
(A) The White test is specifically used to detect heteroscedasticity in regression models. (B) The Jarque-Bera test is a test for normality, not heteroscedasticity. (C) The Breusch-Godfrey test is used for detecting autocorrelation, not heteroscedasticity. (D) The Ljung-box test is used for testing the autocorrelation in time series data, not for heteroscedasticity.
Step 3: Conclusion.
The correct answer is (A) because the White test is designed to detect heteroscedasticity in a model.
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