【風(fēng)險管理基礎(chǔ)&定量】FRM一級真題精選
Many statistical problems arise when estimating relationships using regression analysis. Some of these problems are due to the assumptions behind the regression model. Which of the following are these problems?
I. Multicollinearity
II. Heteroscedasticity
III. Autocorrelation
IV. Stratification
A. I,II and III
B. I,II and IV
C. II and III
D. all of the above
Answer: A
Stratification is not related to regression analysis. Choices I, II, and III describe situations that can produce inaccurate descriptions of the relationship between the independent and dependent variables. Multicollinearity occurs when the independent variables are themselves correlated, Heteroscedasticity occurs when the variances are different across observations, and autocorrelation occurs when successive observations are influenced by the proceeding observations.
