Which of the following is true of heteroskedasticity? A)Heteroskedasticty causes inconsistency in the Ordinary Least Squares estimators. B)Population R² is affected by the presence of heteroskedasticty. C)The Ordinary Least Square estimators are not the best linear unbiased estimators if heteroskedasticity is present. D)It is not possible to obtain F statistics that are robust to heteroskedasticity of an unknown form.

Question

Quizplus · Accepted Answer

Heteroskedasticity does not cause inconsistency in Ordinary Least Squares (OLS) estimators; they remain unbiased and consistent. However, it does mean that OLS estimators are no longer the Best Linear Unbiased Estimators (BLUE) because the presence of heteroskedasticity violates the Gauss-Markov theorem's assumption of homoscedasticity (constant variance of error terms). This affects the efficiency of the estimators, making them not the most precise linear unbiased estimators under the presence of heteroskedasticity.

Which of the Following Is True of Heteroskedasticity