Question: Take the model Y X0e with E[Xe] 0 and Q, where is k 1, Q is k m with m

Take the model Y Æ X0¯Åe with E[Xe] Æ 0 and ¯ ÆQµ, where ¯ is k £1, Q is k £m with m Ç k, Q is known, and µ ism£1. The observations (Yi ,Xi ) are i.i.d. across i Æ 1, ...,n.

Under these assumptions what is the efficient estimator of µ?

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