What would be the consequences for the OLS estimator if heteroscedasticity is present in a regression model but ignored?
A. It will be biased.
B. It will be inconsistent.
C. It will be inefficient.
D. All (A), (B) and (C) will be true.
Answer:C
What would be the consequences for the OLS estimator if heteroscedasticity is present in a regression model but ignored?
A. It will be biased. B. It will be inconsistent. C. It will be inefficient. D. All (A), (B) and (C) will be true.