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Consider a linear regression model with a nonzero intercept and an arbitrary number k of regressors. Show that the OLS residuals have mean zero and
Consider a linear regression model with a nonzero intercept and an arbitrary number k of regressors. Show that the OLS residuals have mean zero and are uncorrelated with all the regressors. Discuss what this tell us about using the OLS residuals to check for endogeneity of the regressors.
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