5.14 Suppose that Yi = bXi + ui, where (ui, Xi) satisfy the GaussMarkov conditions given in...

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5.14 Suppose that Yi = bXi + ui, where (ui, Xi) satisfy the Gauss–Markov conditions given in Equation (5.31).

a. Derive the least squares estimator of b and show that it is a linear function of Y1,c, Yn.

b. Show that the estimator is conditionally unbiased.

c. Derive the conditional variance of the estimator.

d. Prove that the estimator is BLUE.

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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 12:00 AM

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5.14 Suppose that Yi = bXi + ui, where (ui, Xi) satisfy the GaussMarkov conditions given in...

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Introduction To Econometrics

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