1. [There are three parts (a through c) to this question.] Suppose you have two random samples, each of size n, possibly from different populations.
1. [There are three parts (a through c) to this question.] Suppose you have two random samples, each of size n, possibly from different populations. They contain the data, [y1,Xi], [yz,X2], respectively, where y; is an n x1 vector and X, is an x K matrix, j = 1, 2. For each sample, we assume that the Linear Regression Model (LRM) holds, i.e., y, = X, B, +z,, E( z, X;)=0, X, is of full rank, and E(z z X )=o'I, j=1,2. Let b; denote the OLS estimator of Bjaj = 1,2. a) What is the limiting distribution of vn ((b, -b,)-(82 -B,)) as n - co and the asymptotic distribution of (b, -b, ) ? [Hint: See Appendix D.3 in Greene.] b) What is the appropriate test statistic for Ho: 2. = Bux, where Box is the coefficient on var- iable xi in &th column of X, ; j = 1, 2. c) What is the asymptotic distribution for the test statistic in b) under the null hypothesis, Ho
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