Question: 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

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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