10.9 a. In the fixed effects regression model, are the fixed entity effects, ai, consistently estimated as...

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10.9

a. In the fixed effects regression model, are the fixed entity effects, ai, consistently estimated as n¡ with T fixed? (Hint: Analyze the model with no X’s: Yit = ai + uit.)

b. If n is large (say, n = 2000) but T is small (say, T = 4), do you think that the estimated values of ai are approximately normally distributed?

Why or why not? (Hint: Analyze the model Yit = ai + uit.)

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Introduction To Econometrics

ISBN: 9781292071367

3rd Global Edition

Authors: James Stock, Mark Watson

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Question Posted: Oct 26, 2024 01:00 AM

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10.9 a. In the fixed effects regression model, are the fixed entity effects, ai, consistently estimated as...

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Introduction To Econometrics

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