题目
You presented a regression model to your boss, the Chief Risk Officer (CRO). She is a certified FRM so you know that she knows statistics. She queries you on the dataset and your regression, and you admit to two realities: First, the error term is heteroskedastic. Second, there are many extreme outliers in the dataset. Your boss makes the following assertions: I."It is okay, for our purposes, that the error term is heteroskedastic: the slope (B1) estimator remains efficient and BLUE." II."Since we have many extreme outliers, the least absolute deviations (LAD) is a viable alternative to OLS, because its estimators may be more efficient (i.e., have smaller variances)" Which of your boss' statements is (are) TRUE?
选项
A.Neither
B.I. only
C.II. only
D.Both are true
答案
C
解析
In regard to (I), the "B" in BLUE refers to "best" which means most EFFICIENT (smallest variance among unbiased estimators); heteroskedasticity threatens the efficiency of the estimator.关于（I）BLUE中的“ B”是指“最佳”，表示最有效（无偏估计量之间的最小方差）； 异方差性威胁了估计的效率。