7 Classical linear model assumptions for time series Conside

7. Classical linear model assumptions for time series Consider the following stochastic process (xi, x2, x3,... xk, yt): t -1,2,., n/ that follows the linear model f(u: 1,2. n)equence of error terms n - number of observations (time periods) What are the minimum Gauss-Markov assumptions needed for the OLs estimates of f,o, 2 (BLUE) conditional on the explanatory variables for all time periods (X)? Check all that apply x, to be the best linear unbiased estimators

Solution

Assumptions TS 1 to TS 5 are the minimum set of assumptions needed to for the OLS estimates to be the best linear unbiased estimators conditional on explanatory variables for all time periods. The assumptions of Normality is not needed for the estimators to show the BLUE property.