The Lagrange Multiplier test generates a test statistic nR². Where is the R² in the test statistic measured?
a.The original econometric model when estimated using the White correction technique.
b.The average from all the auxiliary regressions estimated with each explanatory variable as a function of the other explanatory variables.
c.The original econometric model before any test of heteroskedasticity has been performed.
d.The auxiliary regression of residuals as a function of the explanatory variables generating the heteroskedasticity.