A sample of 100 observations produces the following sample data y 1 1, y 2 2, y ' 1 y 1 150, y 2 y 2 550, y 1 y 2 260 The underlying bivariate regression model is y 1 1 , y 2 2 a Compute the OLS estimate of , and estimate the sampling variance of this estimator b Compute the FGLS estimate of and th...

The model can be written as Therefore the OLS estimator is The samplin ...

A sample of 100 observations produces the following sample data: y 1 = 1, y 2 =

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A sample of 100 observations produces the following sample data:

y̅₁ = 1, y̅₂ = 2,
y'₁y₁ = 150,
y₂y₂ = 550,
y₁y₂ = 260.

The underlying bivariate regression model is
y₁ = μ + ε₁,
y₂ = μ + ε₂.

a. Compute the OLS estimate of μ, and estimate the sampling variance of this estimator.

b. Compute the FGLS estimate of μ and the sampling variance of the estimator.

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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Question Posted: Nov 16, 2018 04:16 AM

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A sample of 100 observations produces the following sample data: y 1 = 1, y 2 =

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