Let β̂ be the OLS estimator of β and the variance of the error term be a known constant, σ2. Which of the following holds true under the Gauss-Markov Theorem?
1
β̂ is BLUE (Best Linear Unbiased Estimator) even when the errors (u) are heteroskedastic.
2
β̂ remains unbiased, even when X and u are correlated.
3
β̂ is the Best Linear Unbiased Estimator, provided the errors (u) are uncorrelated with each other and with X, have zero expected value, and have the same variance σ2
4
β̂ estimator is biased if there are omitted variables in the model.