Question #133 - Reading 1 Multiple Regression

Reading: Reading 1 Multiple Regression

PDF File: Reading 1 Multiple Regression.pdf

Page: 65

Status: Unattempted

Correct Answer: A

Shared Context

- Which model misspecification is most likely to cause multicollinearity? A) Inappropriate variable scaling. B) Inappropriate variable form. C) Ommission of important variable(s).

Question

If it is determined that conditional heteroskedasticity is present in model one, which of the following inferences are most accurate?

Answer Choices:

A. Regression coefficients will be unbiased but standard errors will be biased

B. Regression coefficients will be biased but standard errors will be unbiased

C. Both the regression coefficients and the standard errors will be biased

Explanation

Presence of conditional heteroskedasticity will not affect the consistency of regression coefficients but will bias the standard errors leading to incorrect application of t-tests for statistical significance of regression parameters.

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