In a multiple regression model, the probability distribution of the error variable $\varepsilon$ is assumed to be:
A) normal.
B) non-normal.
C) positively skewed.
D) negatively skewed.

Question

Quizplus · Accepted Answer

The normality assumption of the error variable is a key assumption of multiple regression. If the error variable is not normally distributed, it may affect the validity of the regression results. Therefore, it is best to assume that the error variable is normally distributed in a multiple regression model.

In a Multiple Regression Model, the Probability Distribution of the Error