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I cannot understand about this sentence. "If in fact there is correlation among the error terms, then the estimated standard errors will tend to underestimate the true standard errors." Why? Please give me a mathematical explain if you can.

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  • $\begingroup$ What is the source of the citation? Is this a [self-study] question? $\endgroup$ Commented Sep 25, 2018 at 10:57
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    $\begingroup$ This is from the book, "An introduce to Statisical Learning" $\endgroup$
    – Young
    Commented Sep 25, 2018 at 11:09

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