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3. Consider the regression model Yi = 1 2Xi Ui , E[Ui |Xi ] = 0, E[U 2 i |Xi ] = 2 and suppose
3. Consider the regression model Yi = 1 2Xi Ui , E[Ui |Xi ] = 0, E[U 2 i |Xi ] = 2 and suppose that you have a bivariate random sample of (X1, Y1),(X2, Y2), ...,(Xn, Yn). (a) The OLS estimator of 2 is 2 = P i (Xi X)(Yi Y ) P i (Xi X) 2 . Let 2 = P i (Xi X)Yi P i (Xi X) 2 . Show that 2 = 2
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