medium · FRM Part 1
An analyst suspects 'Heteroskedasticity' in a cross-sectional regression of corporate bond spreads.
Which of the following is a direct consequence of this condition?
- The OLS estimators are no longer linear.
- The OLS coefficients are no longer unbiased.
- The R^2 statistic will be systematically overestimated.
- Conventional t-statistics and F-statistics are no longer valid.
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