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5. Asymptotic normality In large samples, even if the error term is not normally distributed, we can still compute approximately valid confidence intervals under the Gauss- Markov assumptions True False

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True. Even if the error term is not normally distributed, in large samples we can still compute approximately valid confidence intervals under the Gauss-Markov assumptions. Asymptotic analysis involves approximating the features of the sampling distribution of an estimator.

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