Introductory Econometrics 4th Edition by Jeffrey Wooldridge

تمرين 20

Which of the following can cause the usual OLS t statistics to be invalid (that is, not to have t distributions under H0)
(i) Heteroskedasticity.
(ii) A sample correlation coefficient of.95 between two independent variables that are in the model.
(iii) Omitting an important explanatory variable.