Which of the following statements is true under the Gauss-Markov assumptions?
A)Among a certain class of estimators, OLS estimators are best linear unbiased, but are asymptotically inefficient.
B)Among a certain class of estimators, OLS estimators are biased but asymptotically efficient.
C)Among a certain class of estimators, OLS estimators are best linear unbiased and asymptotically efficient.
D)The LM test is independent of the Gauss-Markov assumptions.

Question

Quizplus · Accepted Answer

Under the Gauss-Markov assumptions, OLS estimators are best linear unbiased and asymptotically efficient. This means that they provide the best estimates among all linear unbiased estimators and their precision increases as the sample size increases. Option A is incorrect as it suggests that OLS estimators are asymptotically inefficient, which is not true under the Gauss-Markov assumptions. Option B is incorrect as it suggests that OLS estimators are biased, which is not true under the Gauss-Markov assumptions. Option D is incorrect as the LM test is based on the Gauss-Markov assumptions and cannot be independent of them.

Which of the Following Statements Is True Under the Gauss-Markov