With Heteroskedastic Errors, the Weighted Least Squares Estimator Is BLUE

question 4

Multiple Choice

With heteroskedastic errors, the weighted least squares estimator is BLUE. You should use OLS with heteroskedasticity-robust standard errors because

• A)this method is simpler.
• B)the exact form of the conditional variance is rarely known.
• C)the Gauss-Markov theorem holds.
• D)your spreadsheet program does not have a command for weighted least squares.

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