Question

When the heteroskedasticity-robust standard error is greater than the regular standard error, what is the likely impact on statistical measures?

a) The t-statistic will likely become greater.
b) The confidence interval will likely become smaller.
c) The p-value will likely become greater.
d) The point estimate (i.e., coefficient value) will likely become greater.

Answer 1

When the heteroskedasticity-robust standard error is greater than the regular standard error, the t-statistic is likely to become smaller.

Step-by-step explanation:

When the heteroskedasticity-robust standard error is greater than the regular standard error, the likely impact on statistical measures is that the t-statistic will likely become smaller. This is because the heteroskedasticity-robust standard error takes into account the presence of heteroskedasticity, which can inflate the standard error and reduce the t-statistic. The other options are not likely to be affected by the difference in standard errors.