Which of the following are consequences of heteroskedasticity? i. The OLS estimators, $\hat{\beta}_{j},$ are inconsistent. ii. The usual $F$ statistic no longer has an $F$ distribution. iii. The OLS estimators are no longer BLUE.
Added by Mar B.
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The OLS estimators, $\hat{\beta}_{j},$ are inconsistent. This statement is incorrect. Heteroskedasticity does not cause the OLS estimators to be inconsistent. They remain unbiased and consistent, but they are no longer efficient. Show more…
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