Consider the linear model y=B,+B,x,+B,x,+Bx+P+u, You estimate the model y=B,+B,x,+B,x,observations and obtain the OLS residuals . You then estimate the auxiliary regression+u based on 123313 314141The LM statistic3i++4/you obtain to test the null hypothesis that H:ß,=B,30 is 20.91. What is the R2 of the auxiliary regression?It is not possible to say0.17O 0.1757140.177203

Formula: Test statistic for LM test is, χ2=nR2 Given information: n=123 observations χ2=20.91.

Answered: +u, You estimate the model y =,+P,…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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