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The Heteroskedasticity-Robust Estimator Of n(β^β)\sum \sqrt { n ( \hat { \beta } - \beta ) }

Question 39

Multiple Choice

The heteroskedasticity-robust estimator of n(β^β) \sum \sqrt { n ( \hat { \beta } - \beta ) } is obtained


A) from ( XX ^ { \prime } X) -1 XX ^ { \prime } U.
B) by replacing the population moments in its definition by the identity matrix.
C) from feasible GLS estimation.
D) by replacing the population moments in its definition by sample moments.

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