Breusch-Pagan test

CFA Level II
#1

Hello… anybody knows why is that in the example on breusch-Pagan test on page 196 of Schweser bk 1, why is the degree of freedom =1? thank you.

#2

One independent variable

#3

but I think the question said there are six independent variables?

#4

Is it because the plot is of ‘Mutual Fund Returns’ against Time. So just 1 DoF for Chi-Square test? … just guessing

#5

DF of the test should equal the number of IV’s. If there are 6 IV’s and the book is doing a test based on df = 1, then that would be an error.

#6

I have no idea…does anybody know? thanks!

#7

Yep - it’s wrong. Should be “…with 6 degrees of freedom and a=5% is 12.592. Therefore you should fail to reject the null hypothesis and conclude that there is not evidence to reject the null”

#8

thanks joeydvivre~