If the errors are heteroskedastic, then
A)the OLS estimator is still BLUE as long as the regressors are nonrandom.
B)the usual formula cannot be used for the OLS estimator.
C)your model becomes overidentified.
D)the OLS estimator is not BLUE.

Question

Quizplus · Accepted Answer

If the errors are heteroskedastic, the OLS estimator is no longer BLUE (Best Linear Unbiased Estimator) because one of the assumptions for OLS to be BLUE is that the error terms have constant variance (i.e., homoskedasticity). Therefore, D is the correct choice.

If the Errors Are Heteroskedastic, Then