Question: Themodel is Y X0e with E[Xe] 6 0. We know that in this case, the least squares estimator may be biased for the parameter

Themodel is Y Æ X0¯Åe with E[Xe] 6Æ 0. We know that in this case, the least squares estimator may be biased for the parameter ¯.We also know that the nonparametric BC percentile interval is

(generally) a good method for confidence interval construction in the presence of bias. Explain whether or not you expect the BC percentile interval applied to the least squares estimator will have accurate coverage in this context.

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