CFA Practice Question

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CFA Practice Question

One method to correct for heteroscedasticity is generalized least squares. It involves:
A. Modifying and re-estimating the original regression equation to eliminate conditional heteroskedasticity.
B. Direct modifications to the standard errors to account for conditional heteroskedasticity.
C. Direct modifications to the regression coefficients to account for conditional heteroskedasticity.
Explanation: This method modifies the original regression equation in an attempt to eliminate the conditional heteroskedasticity.

User Contributed Comments 3

User Comment
murli Arranging the numbers is essential ! (Median and Mode)
danlan2 This is about "generalized least squares". The other method is "standard robust errors", which is described by B.
chriswwu @danlan2 - That is crucial for this question. Thanks for pointing it out.
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