試題詳解

8. Which of the following is false?
(A)If all Gauss-Markov conditions are satisfied, the OLS estimators have the lowest conditional variance among all linear conditionally unbiased estimators.
(B) If not all Gauss-Markov conditions are satisfied, the OLS estimators are biased.
(C) If the regression error ui is conditionally heteroscedastic, the OLS estimators can still be consistent.
(D) If the conditional variance of ui is heteroscedastic and its functional form is known and can be estimated exactly, we may prefer a weighted least square estimator to an OLS estimator because of the efficiency consideration.
(E) None of the above choices (a)-(d).