题目
Analyst Wang examines a single-factor regression for a hedge fund and he thinks: Statement 1: Heretroskedasticity causes the t-statistics of the regression to be incorrectly calculated using ordinary least squares methods. Statement 2: Hetetroskedasticity exists if the regression residuals are correlated with their lagged values. Which of Lockwood’s claims are correct?
选项
A.Statement 1 is correct and Statement 2 is correct.
B.Statement 1 is correct and Statement 2 is incorrect.
C.Statement 1 is incorrect and Statement 2 is correct.
D.Statement 1 is incorrect and Statement 2 is incorrect.
答案
B
解析
Hetetroskedasticity exists if the variance of the residuals is not constant. In a heteroskedastic regression, the t-statistics will be incorrectly calculated using ordinary least squares methods.如果残差的方差不是恒定的，则存在异方差。 在异方差回归中，使用普通最小二乘法会错误地计算t统计量。