9. Incorrectly assuming the functional form of the heteroskedasticity
Suppose a multiple regression model that satisfies assumptions MLR.1 through MLR.4 has been estimated using weighted least squares (WLS) under
the assumption that Var(y) = o-h(z); however, in actuality, Var(yl2)*o?h(c) for the given choice of h(c).
True or False: The misspecification of h(x) will cause WLS slope parameter estimates to be biased and inconsistent.
True
False
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Answer: False.
Explanation:
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