medium · Quantitative Finance
Which assumption must hold for the OLS estimator to be unbiased (E[hatβ] = β)?
- The error term ε must have an expected value of zero (E[ε] = 0).
- The variance of the error terms must be constant (homoscedasticity).
- The sample size n must be infinitely large.
- The error terms must follow a standard normal distribution.
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