Assume you wish to perform white test, so you start by estimating the following equation for a sample of 242 observation.
yt=bl + b2 + 2t + b3 x 3t + b4 + 4t+ut
From this initial regression you find the residual sum of square (RSS) is equal to 6700 and the total sum of square (TSS) is equal to 28643.
In step two, you run the auxiliary regression and find the following information:
- residual sum of square (RSS) of the auxiliary regression: 15633
- total sum of square (TSS) of the auxiliary regression: 51269
What is the value of White's test statistic (the statistic needed to perform the test)?
