Exam 1
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Question
Under the assumptions of the Gauss-Markov theorem the errors
of a linear regression model need to be:
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homoscedastic
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identically distributed
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zero
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uncorrelated
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normally distributed
Solution
Under the assumptions of the Gauss-Markov theorem the errors of a linear
regression model need to be uncorrelated, homoscedastic, and with mean zero.
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True. The errors need to be homoscedastic with finite variance.
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False. No distribution assumption is needed.
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False. Only their conditional expectation needs to be zero.
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True. The errors need to be uncorrelated.
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False. No distribution assumption is needed.