Suppose we change the assumptions of the model to AS5 (xi, ) are an independent and identically distributed sequence of random vectors such that xi has a finite mean vector, x, finite positive definite covariance matrix xx and finite fourth moments E xj xkxl xm jklm for all variables How does the p...

The assumption above is considerably ...

Suppose we change the assumptions of the model to AS5: (xi, ) are an independent and identically

Question:

Suppose we change the assumptions of the model to AS5: (xi, ε) are an independent and identically distributed sequence of random vectors such that xi has a finite mean vector, μx, finite positive definite covariance matrix Σxx and finite fourth moments E[xj xkxl xm] = φjklm for all variables. How does the proof of consistency and asymptotic normality of b change? Are these assumptions weaker or stronger than the ones made in Section 5.2?