问题如下:
Conditional heteroskedasticity will result in consistent coefficient estimates, but both the t-statistics and F-statistic will be biased, resulting in false inferences. Is this Statement correct?
选项:
A.Yes.
B.No, because the model’s F-statistic will not be biased.
C.No, because the model’s t-statistics will not be biased.
解释:
A is correct.
Chang is correct because the presence of conditional heteroskedasticity results in consistent parameter estimates, but biased (up or down) standard errors, t-statistics, and F-statistics.
前半句:Conditional heteroskedasticity will result in consistent coefficient estimates怎么理解呢?不是说条件异方差不会影响参数估计的一致性吗?那为什么前半句说的相反的呢?