The following statements refer to the linear regression model with multiple ex- planatory variables, i.e. Y₁ = 30 +3₁X₁₁

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The Following Statements Refer To The Linear Regression Model With Multiple Ex Planatory Variables I E Y 30 3 X 1 (39.36 KiB) Viewed 59 times

The following statements refer to the linear regression model with multiple ex- planatory variables, i.e. Y₁ = 30 +3₁X₁₁ + + BXki +¹₂. Observations are indexed by i 1.....N, where N is the sample size. We denote the parameter values estimated by OLS by B and 3₁- (a) The OLS estimator is consistent if only if X₁ is uncorrelated with all the other explanatory variables (X₂,..., Xk). [ ] true [] false (b) It is not possible to calculate the OLS estimators 3..... if one of the explanatory variables is a linear function of the remaining explanatory va- riables. [] true [] false (c) In case of heteroskedasticity, it is not possible to calculate t-statistics. [true [] false (d) The OLS estimator 3₁ is inconsistent if the explanatory variable X₁ is cor- related with the error term u. []true [] false (e) The difference between the coefficient of determination, R², and the adju- sted coefficient of determination (which is often denoted by R²) becomes smaller as the sample size increases. [] true [] false