Suppose that in the groupwise heteroscedasticity model of Section 9.7.2, X i is the same for all

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Suppose that in the groupwise heteroscedasticity model of Section 9.7.2, X_i is the same for all i.What is the generalized least squares estimator of β? How would you compute the estimator if it were necessary to estimate σ²_i?

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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Question Posted: Nov 16, 2018 07:52 AM

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Suppose that in the groupwise heteroscedasticity model of Section 9.7.2, X i is the same for all

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If all of the regressor matrices are the same the esti...View the full answer

Econometric Analysis

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