Econometrics: Questions I've Got Wrong

Question 1

Which of the following statements is not true when regression errors are autocorrelated or
heteroscedastic?
(a) OLS estimators are biased;
(b) One should at least use a variance estimator that is adjusted to correct for the
autocorrelation or heteroscedasticity;
(c) OLS is no longer the best estimator to use;
(d) A GLS or WLS type estimator might be better than OLS;
(e) None of the above

Answer 1

(a) is the correct answer in that it is not true. OLS remains unbiased when the errors are
autocorrelated or heteroscedastic