絮絮 发表于 2010-3-7 17:34 
2# soccy
但是 如果解释变量和误差项是不相关的话 按道理说得出的coefficient就是无偏的呀,,,额 不好意思 我比较弱,,,
"但是 如果解释变量和误差项是不相关的话 按道理说得出的coefficient就是无偏的呀" True, but if the error covariance still has struction pattern, then it is NOT an efficient estimator.
"额 不好意思 我比较弱" -- You already know a lot. Work hard!!!
In term of assumtions in OLS, the E(error * x) = 0 is the most important one. Under the model is correctly specified, the heteroscedastic and serial correlation only affect efficiency of estimation. But when high serial correlation exists, one has to deal with it.It will improve your estimation.