QUESTION here

17.4 Weakly endogenous regressors Consider the regression y = XB+ E, where the regressors A' are correlated with the error &, but this correlation is weak. Consider the decomposition of & to its projection on A' and the orthogonal component : 8 = N'T + U. Assume that (n 1X"X', n 1/2xu) - (Q, (), where & ~ N (0, o Q) and Q has full rank. Show that under the assumption of the drifting parameter DGP a = c/vn, where n is the sample size and c is fixed, the OLS estimator of 8 is consistent and asymptotically noncentral normal, and derive the asymptotic distribution of the Wald test statistic for testing the set of linear restriction RB = r, where R has full rank