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MeiQ · 2018年02月14日

问一道题:NO.PZ2016062402000025 [ FRM I ]

条件异方差会不会影响推断和估计吗?讲义中提到条件异方差影响较大问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

源_品职助教 · 2018年02月25日

条件异方差对于方程系数准确性不会产生影响,

但是条件异方差会对系数的标准误造成影响。如果标准误的估计不准确了,那么我们在对系数的显著性进行检验时,得到的检验结果就是不可靠的。

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