Testing for Heteroskedasticity

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Luckyguy

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Breusch and Pagan showed that under the null hypothesis of no conditional heteroskedasticity, nR2 (from the regression of the squared residuals on the independent variables from the original regression) will be a χ2 random variable with the number of degrees of freedom equal to the number of independent variables in the regression.
χ2 random variable is confusing me. Can some one explain?
 
Heteroskedasticity means that the variance is not constant.
Recall from Level I that we had a test for the variance of a population, and that the statistic had a χ² distribution. This is similar, and the test statistic also has a χ² distribution.
 
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