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简胖子 · 2019年08月10日

问一道题:NO.PZ2016062402000025 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

是不是conditional heteroskedasticity can lead to problem with inference but not estimation???

1 个答案

orange品职答疑助手 · 2019年08月10日

同学你好,是的

Lucrecia1004 · 2019年08月13日

老师你好,我看了另一个助教的回答,他说:条件异方差并没有对系数Bi本身造成偏差影响,只是对其标准误产生偏差,因此检验的有效性打了折扣。 所以estimation和一些推论是不受影响的,受影响的是对Bi的检验。所以异方差到底对inference有没有影响?谢谢

orange品职答疑助手 · 2019年08月14日

同学你好,这边还是以notes的结论为准吧。这部分的内容对统计学的要求很高,数学原理挺复杂的,只能记一下结论了

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