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

Exercise 3

Suppose that Assumption #4 in Key Concept 17.1 is true, but you construct a 95% confidence interval for 1 using the heteroskedastic-robust standard error in a large sample. Would this confidence interval be valid asymptotically in the sense that it contained the true value of 1 in 95% of all repeated samples for large n Suppose instead that Assumption #4 in Key Concept 17.1 is false, but you construct a 95% confidence interval for 1 using the homoskedasticity-only standard error formula in a large sample. Would this confidence interval be valid asymptotically