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3. (4 marks) You have data on variables Y, X, Z. W. Suppose in the data, cov(X, Z) = 0 and cov(X, W) =
3. (4 marks) You have data on variables Y, X, Z. W. Suppose in the data, cov(X, Z) = 0 and cov(X, W) = 0. You run: - an OLS regression of Y on 1, X to get as coefficient of X and the residual variable - an OLS regression of Y on 1, X, Z, W to get as coefficient of X and the residual variable Is =1? Is =n? If not, under what conditions are they equal? Give reasons.
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An Introduction to the Mathematics of financial Derivatives
Authors: Salih N. Neftci
2nd Edition
978-0125153928, 9780080478647, 125153929, 978-0123846822
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