Question: Take the model Y X11 X22 e with E[Xe] 0 and scalar X1 and X2. The parameter of interest is

Take the model Y Æ X1¯1 Å X2¯2 Åe with E[Xe] Æ 0 and scalar X1 and X2. The parameter of interest is µ Æ ¯1¯2. Show how to construct a confidence interval for µ using the following three methods.

(a) Asymptotic Theory.

(b) Percentile Bootstrap.

(c) Percentile-t Bootstrap.

Your answer should be specific to this problem, not general.

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