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

question 45

Multiple Choice

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.

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