Multiple Linear Regression 04 – Misspecifcations

Consider a multiple regression model with the following test results:

Exhibit 1: Heteroskedasticity Test Results

ModelBP test statisticP-value
A7.1830.0072
B0.0350.8523
C29.5860.0001

Exhibit 2: Breusch–Godfrey and Durbin-Watson Test Results

ModelTest TypeTest StatisticCritical ValueIndependent Variable Is Lagged Value of Dependent Variable
ABG12.1243.927Yes
BDW5.0884.387No

Exhibit 3: Multicollinearity Test Results

VariableR2VIF
X10.7483.968
X20.4511.820
X30.94217.257
X40.92613.434