Question: Take the model Y X0e where e is independent of X and has known density function f (e) which is continuously differentiable. (a) Show

Take the model Y Æ X0µÅe where e is independent of X and has known density function f

(e) which is continuously differentiable.

(a) Show that the conditional density of Y given X Æ x is f

¡

y ¡x0µ

¢

.

(b) Find the functions ½(Y ,X,µ) and Ã(Y ,X,µ).

(c) Calculate the asymptotic covariance matrix.

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