问题如下:
6. Is Chiesa’s concluding statement correct regarding parameter model uncertainty and regression model uncertainty?
选项:
A.Yes.
B.No, predictions are not subject to parameter estimate uncertainty.
C.No, predictions are subject to regression model uncertainty and parameter model uncertainty.
解释:
C is correct.
Predictions in a multiple regression model are subject to both parameter estimate uncertainty and regression model uncertainty.
本题中的回归模型
1)0.05显著性水平下,根据DW检验有自相关问题
2)根据t检验和F检验,单个系数,整体方程均显著,不存在自相关问题
3)0.05显著性水平下,根据BP检验有异方差问题
根据以上结果,不影响参数的无偏估计,也不影响系数的估计,为什么答案是方程不稳定?