Question: Take the model Y X0e with E[Xe] 0 and suppose you have observations i 1, ...,2n. (The number of observations is 2n.)

Take the model Y Æ X0¯Åe with E[Xe] Æ 0 and suppose you have observations i Æ 1, ...,2n.

(The number of observations is 2n.) You randomly split the sample in half, (each has n observations), calculate b¯1 by least squares on the first sample, and b¯2 by least squares on the second sample. What is the asymptotic distribution of p

¡ b¯1 ¡ b¯2

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