Suppose we change the assumptions of the model to AS5: (xi, ) are an independent and identically
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Suppose we change the assumptions of the model to AS5: (xi, ε) are an independent and identically distributed sequence of random vectors such that xi has a finite mean vector, μx, finite positive definite covariance matrix Σxx and finite fourth moments E[xj xkxl xm] = φjklm for all variables. How does the proof of consistency and asymptotic normality of b change? Are these assumptions weaker or stronger than the ones made in Section 5.2?
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