OLS Heteroscedasticity - Quant Trader Interview Question
Difficulty: Hard
Category: Probability & Statistics
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Topics: linear-regression, ols, statistics, heteroscedasticity
Problem Description
In the context of Ordinary Least Squares (OLS) regression, one of the key assumptions is homoscedasticity, meaning the error terms have constant variance across all levels of the independent variables. When this assumption is violated, we encounter heteroscedasticity. Which of the following best describes the consequence of heteroscedasticity?
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