One implication of the extended least squares assumptions in the multiple regression model is that
A)feasible GLS should be used for estimation.
B)E(U|
X)= In.
C) X is singular.
D)the conditional distribution of U given X is N(0n,In).

Question

One implication of the extended least squares assumptions in the multiple regression model is that
A)feasible GLS should be used for estimation. 
B)E(U|
X)= In. 
C) X is singular. 
D)the conditional distribution of U given X is N(0n,In).

Quizplus · Accepted Answer

The extended least squares assumptions include the assumption that the conditional distribution of the error term U given X is a normal distribution with mean 0n and variance-covariance matrix of In. Therefore, option D is the best choice. Option A is incorrect because feasible GLS is not necessary for estimation, as OLS can still be used. Option B is not necessarily true, as the expected value of U given X can be any function of X. Option C is somewhat unrelated to the assumptions of extended least squares, as it refers to singularity of the X matrix, which can cause issues for estimation but is not a direct implication of the assumptions.

One Implication of the Extended Least Squares Assumptions in the Multiple