heteroskedastic

问题如下：

Ender’s report includes the results of a regression of the monthly return for an electric utility equity index for the previous 203 months (the dependent variable) against the monthly returns for the S&P 500 Index and the difference between the monthly returns on long-term U.S. government bonds and one-month U.S. Treasury bills (SPREAD) (the two independent variables).Using Ender’s data, Hamilton tested for and confirmed the presence of conditional heteroskedasticity.

Given Hamilton’s finding regarding heteroskedasticity, the most appropriate conclusion is that the variance of the error term is correlated with:

选项：

A.

the independent variables only

B.

both the dependent and independent variables

C.

the dependent variable only

解释：

Hamilton’s test confirmed the presence of conditional heteroskedasticity, which means that the variance of the error term is correlated with the values of the independent variables