Multiple Regression Analysis: Model Assumptions

In regression analysis, a multiple regression model is specified to analyze the impact of several independent variables on a dependent variable. One crucial aspect of estimating a reliable model is to ensure that certain assumptions of the regression analysis are met.

Consider a multiple regression model defined as follows:

Y = β₀ + β₁X₁ + β₂X₂ + ε

where:

• Y is the dependent variable.
• X₁ and X₂ are independent variables.
• ε is the error term.

Which of the following is NOT an assumption of the classical linear regression model?