Suppose that y has the pdf f (y | x) = (1/x')ey/('x), y > 0. Then E[y

Question:

Suppose that y has the pdf f (y | x) = (1/x'β)e−y/(β'x), y > 0. Then E[y | x] = β'x and Var[y | x] = (β'x)2. For this model, prove that GLS and MLE are the same, even though this distribution involves the same parameters in the conditional mean function and the disturbance variance.

Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...