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: Yes
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