The OLS estimator with heteroscedasticity
Problem
In the linear regression model \(y_i=β_1+β_2x_i+ε_i\) , the error terms are heteroscedastic ( \(x\) -variable is exogenous). What is true about the OLS estimator?
- Unbiased, efficient and consistent
- Unbiased, efficient but not consistent
- Unbiased but not efficient
- Efficient but not unbiased
- Neither unbiased nor efficient
Solution
The correct answer is c.