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慧慧 · 2020年02月14日

问一道题：NO.PZ201709270100000205

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

5. Honoré is concerned about the consequences of heteroskedasticity. Is she correct regarding the effect of heteroskedasticity on the reliability of the F-test and t-tests?

选项：

A.

Yes

B.

No, she is incorrect with regard to the F-test

C.

No, she is incorrect with regard to the t-tests

解释：

A is correct. Heteroskedasticity causes the F-test for the overall significance of the regression to be unreliable. It also causes the t-tests for the significance of individual regression coefficients to be unreliable because heteroskedasticity introduces bias into estimators of the standard error of regression coefficients.

B为什么不对？异方差不是对F和t检验都有影响，都是unreliable吗

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1 个答案

星星_品职助教 · 2020年02月14日

同学你好，

两个陈述都正确，所以选择A

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NO.PZ201709270100000205 问题如下 5. Honoré is concerneabout the consequences of heteroskesticity. Is she correregarng the effeof heteroskesticity on the reliability of the F-test ant-tests? Yes No, she is incorrewith regarto the F-test No, she is incorrewith regarto the t-tests A is correct. Heteroskesticity causes the F-test for the overall significanof the regression to unreliable. It also causes the t-tests for the significanof inviregression coefficients to unreliable because heteroskesticity introces biinto estimators of the stanrerror of regression coefficients. 请教课堂上说异方差对F-TEST有影响，但对系数估计（coefficient estimates)是不影响的。那题目这里说对系数的T-TEST是有影响呢？我理解讲义说的T-TEST unreliable指的是整个方程而言，而不是某个参数。如果对系数不影响，那么系数的T-TEST应该不会不可靠（unreliable)老师能否下？

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