If the errors in the classical linear regression model are NOT normally distributed is the OLS...

If the errors in the classical linear regression model are NOT normally distributed is the OLS estimator still "BLUE"? Please explain why, or why not.

Expert Solution

the answer is true. The assumption of normally distributed errors in the classical linear regression model is required for hypothesis testing and producing reliable confidence intervals and prediction intervals. A violation of this assumption does not lead to biased estimates or an increase in the variance and thus the OLS estimates remain the best linear unbiased estimators (BLUE)

Rahul Sunny answered 2 years ago

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