LAD是在哪里讲的呢？

问题如下：

You presented a regression model to your boss, the Chief Risk Officer (CRO). She is a certified FRM so you know that she knows statistics. She queries you on the dataset and your regression, and you admit to two realities: First, the error term is heteroskedastic. Second, there are many extreme outliers in the dataset. Your boss makes the following assertions:

I. "It is okay, for our purposes, that the error term is heteroskedastic: the slope (B1) estimator remains efficient and BLUE."

II. "Since we have many extreme outliers, the least absolute deviations (LAD) is a viable alternative to OLS, because its estimators may be more efficient (i.e., have smaller variances)"

Which of your boss' statements is (are) true?

选项：

A.

Neither

B.

I only

C.

II only

D.

Both are true

解释：

In regard to (I), the "B" in BLUE refers to "best" which means most EFFICIENT (smallest variance among unbiased estimators); heteroskedasticity threatens the efficiency of the estimator.