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

Why is the language of the Learning Outcome Statements (LOS) different from the curriculum?
The LOS are protected under the CFA Institute's copyright, and we don't have permission to duplicate them verbatim. Therefore, we've rephrased the LOS and included alphabetical labels (a, b, c, …) to simplify cross-referencing with the original LOS in the curriculum when needed.

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