Heteroskedasticity means that
A. homogeneity cannot be assumed automatically for the model.
B. the variance of the error term is not constant.
C. the observed units have different preferences.
D. agents are not all rational.
With heteroskedastic errors, the weighted least squares estimator is BLUE. You should use OLS with heteroskedasticity-robust standard errors because
A. this method is simpler.
B. the exact form of the conditional variance is rarely known.
C. the Gauss-Markov theorem holds.
D. your spreadsheet program does not have a command for weighted least squares.
In the presence of heteroskedasticity, and assuming that the usual least squares assumptions hold, the OLS estimator is
A. efficient.
BLUE.
C. unbiased and consistent.
D. unbiased but not consistent.
If the errors are heteroskedastic, then
A. OLS is BLUE.
B. WLS is BLUE if the conditional variance of the errors is known up to a constant factor of proportionality.
C. LAD is BLUE if the conditional variance of the errors is known up to a constant factor of proportionality.
D. OLS is efficient.
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