Finite-Sample Distributions of the OLS Estimator and T-Statistics Are Complicated $X _ { 1 } , \ldots , X _ { n }$

question 29

Short Answer

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 $X _ { 1 } , \ldots , X _ { n }$
c. the Gauss-Markov Theorem applies.
d. the regressor is also endogenous.

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Definitions:

Prospective Treatment

An approach in accounting where changes are applied to transactions and events from a specific date forward.

Reporting Entity

An entity, such as a company or organization, that must prepare financial statements to provide information to users.

MACRS Depreciation

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Double-Declining-Balance

A method of accelerated depreciation which computes depreciation at twice the straight-line rate, applied to a decreasing book value each year.