Question: Suppose that Y m(X,)e with E[e j X] 0, b is the NLLS estimator, and bV the estimator of var b .

Suppose that Y Æ m(X,µ)Åe with E[e j X] Æ 0, bµ is the NLLS estimator, and bV the estimator of var

£bµ

¤

. You are interested in the CEF E[Y j X Æ x] Æ m(x) at some x. Find an asymptotic 95%

confidence interval form(x).

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