NO.PZ2023091601000132
问题如下：
Conditional
heteroskedasticity will result in consistent coefficient estimates, but both
the t-statistics and F-statistic will be biased, resulting in
false inferences. Is this Statement correct?
选项：
A.
Yes.
B.
No,
because the model’s F-statistic will not be biased
C.
No,
because the model’s t-statistics will not be biased
D.
No, because
the model’s t-statistics and F-statistic will not be biased
解释：
Chang
is correct because the presence of conditional heteroskedasticity results in
consistent parameter estimates, but biased (up or down) standard errors, t-statistics,
and F-statistics
老师好，讲义只提到了 T-test是little power F-test因为是联合检验整个方程还是对Y有解释力度的。
是说F-test虽然验证整个方程对Y有解释力度，但仍然有偏？因为SSE/k/（SSR/n-k-1）其中条件异方差影响了SSR？还是具体怎么影响的？
