Exam 1

  1. Question

    Under the assumptions of the Gauss-Markov theorem the errors of a linear regression model need to be:
    1. homoscedastic
    2. identically distributed
    3. normally distributed
    4. independent
    5. uncorrelated

    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.
    1. True. The errors need to be homoscedastic with finite variance.
    2. False. No distribution assumption is needed.
    3. False. No distribution assumption is needed.
    4. False. Independence is not assumed, only lack of correlation.
    5. True. The errors need to be uncorrelated.