
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
النسخة 3الرقم المعياري الدولي: 978-9352863501
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
النسخة 3الرقم المعياري الدولي: 978-9352863501 تمرين 2
Consider the heterogeneous regression model
where 0i and 1i are random variables that differ from one observation to the next. Suppose that
are distributed independently of X i.
a. Let
denote the OLS estimator of 1 given in Equation (17.2). Show that
, where E ( 1 ) is the average value of 1 i in the population.
b. Suppose that
, where 0 and 1 are known positive constants. Let
denote the weighted least squares estimator. Does
Explain.


a. Let


b. Suppose that



التوضيح
a) The heterogeneous regression is
The...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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