Heteroskedacity & Standard Errors
Why do we say that with conditional heteroskedacity, the standard error is underestimated?
Technically, i think standard errors can be overestimated, and our T and F values will result smaller. As a consequence, we wouldn’t reject the H0 when we would should have and that would cause a type II error
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.