In the presence of heteroskedasticity, the usual OLS estimates of:
A)standard errors are valid, whereas the t statistics and F statistics are invalid.
B)t statistics are valid, but the standard errors and F statistics are invalid.
C)F statistics are valid, but the standard errors and t statistics are invalid.
D)standard errors, t statistics, and F statistics are invalid.

Question

Quizplus · Accepted Answer

In the presence of heteroskedasticity, the OLS estimates of standard errors, t statistics, and F statistics are all invalid, as they rely on the assumption of homoskedasticity. Therefore, D is the correct choice.

In the Presence of Heteroskedasticity, the Usual OLS Estimates Of