The OLS estimator
A)has the multivariate normal asymptotic distribution in large samples.
B)is t-distributed.
C)has the multivariate normal distribution regardless of the sample size.
D)is F-distributed.

Question

Quizplus · Accepted Answer

The OLS estimator has the multivariate normal asymptotic distribution in large samples, which is one of the key assumptions for performing statistical inference using OLS. B, C, and D are incorrect as the OLS estimator is not t-distributed, does not have a multivariate normal distribution regardless of the sample size, and is not F-distributed.

The OLS Estimator