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Linear Regression
Linear Regression
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state theorem
The Gauss-Markov theorem states that OLS is the Best Linear Unbiased Estimator (BLUE) under specific assumptions. Which assumption does Gauss-Markov NOT require?
Hide and think first
A.
Errors follow a Gaussian distribution, giving OLS its minimum-variance unbiased property among all estimators
B.
The design matrix
X
has full column rank, so
X
T
X
is invertible and the OLS estimator is uniquely defined
C.
Errors are homoskedastic with constant variance
σ
2
and are mutually uncorrelated across observations
D.
Errors have zero conditional mean, so
E
[
ε
i
∣
X
]
=
0
for every observation
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