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shadow · 2020年05月22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.

老师，关于这个问题的题干在哪里？没有看到关于条件异方差的题干

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星星_品职助教 · 2020年05月23日

同学你好，

如图

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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？

2024-02-01 09:54 1 · 回答

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. 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

2020-02-14 00:27 1 · 回答

我记得视频里有个地方说对F检验有影响、对t检验没有影响、忘记这个说的是哪里了

2018-12-20 12:48 1 · 回答

    题目 里面没有 说到F 检验呀，为什么 里面有。正的 自相关对T 检验和F 检验会 产生什么样的 影响，为什么 

2018-02-21 22:13 2 · 回答