Finite-sample distributions of the OLS estimator and t-statistics are complicated, unless A)the regressors are all normally distributed. B)the regression errors are homoskedastic and normally distributed, conditional on X₁,... X_n. C)the Gauss-Markov Theorem applies. D)the regressor is also endogenous.

Question

Quizplus · Accepted Answer

The finite-sample distributions of the OLS estimator and t-statistics are only simple when the regression errors are homoskedastic and normally distributed, conditional on the regressors. The other options may also have some simplifications but they do not provide a complete solution to the problem.

Finite-Sample Distributions of the OLS Estimator and T-Statistics Are Complicated