3.1 Sampling distribution of OLS estimator So far,we know that given the Gauss- Markov assumptions,OLS is BLUE, In order to do classical hypothesis testing, we need to add another assumption(beyond the Gauss-Markov assumptions) A6.Assume that conditional on X,u is normally distributed with zero mean and variance o2:uX~Normal(0,o21) Econometrics 15-Zhuxi@SJTU 4Econometrics 15 - Zhuxi@SJTU 4 3.1 Sampling distribution of OLS estimator So far, we know that given the Gauss￾Markov assumptions, OLS is BLUE, In order to do classical hypothesis testing, we need to add another assumption (beyond the Gauss-Markov assumptions) A6. Assume that conditional on X, u is normally distributed with zero mean and variance s2 : u|X ~ Normal(0,s2 I)