13. Which of the following is true of heteroskedasticity? a. Heteroskedasticty c

Question

13. Which of the following is true of heteroskedasticity? a. Heteroskedasticty causes inconsistency in the Ordinary Least Squares estimators Population R is affected by the presence of heteroskedasticty c. The Ordinary Least Square estimators are not the best linear unbiased estimators if hete present. roskedasticity is possible to obtain F statistics that are robust to heteroskedasticity of an unknown form 14. Consider the following regression model: yi-4 + +1·lf the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then Var() c. Var(ui(xi)-9,2 d. Var(u)- 15. The general form of the t statistic is a estimate hypothesized value standard error b hypothesized value estimate standard error standard error estimate - hypothesized value c. d. t- estimate - hypothesized value 16. Which of the following is true of the OLS / statistics? a. The heteroskedasticity-robust t statistics are justified only if the sample size is large. b. The heteroskedasticty-robust / statistics are justified only if the sample size is small. c. The usual t statistics do not have exact/ distributions if the sample size is large d. In the presence of homoskedasticity, the usual statistics do not have exact distributions if the sample size is small.

Explanation / Answer

13.

The correct option is c.

The Ordinary Least Square estimators are not the best linear unbiased estimators if heteroskedasticity is present.

14.

Option c. is correct

Var(ui|xi) = i2

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