Suppose that assumption 4 in Key Concept 18.1 is true but you construct a (95 %) confidence
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Suppose that assumption 4 in Key Concept 18.1 is true but you construct a \(95 \%\) confidence interval for \(\beta_{1}\) using the heteroskedastic-robust standard error in a large sample. Would this confidence interval be valid asymptotically in the sense that it contained the true value of \(\beta_{1}\) in \(95 \%\) of all repeated samples for large \(n\) ? Suppose instead that assumption 4 in Key Concept 18.1 is false but you construct a \(95 \%\) confidence interval for \(\beta_{1}\) using the homoskedasticity-only standard error formula in a large sample. Would this confidence interval be valid asymptotically?
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