Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

تمرين 8

You are analyzing a linear regression model with 500 observations and one regressor. Explain how you would construct a confidence interval for ß 1 if:
a. Assumptions #1 through #4 in Key Concept 18.1 are true, but you think Assumption #5 or #6 might not be true.
b. Assumptions #1 through #5 are true, but you think Assumption #6 might not be true.(give two ways to construct the confidence interval).
c. Assumptions #1 through #6 are true