Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

تمرين 14

Consider the regression model from Chapter 4,
, and assume that the assumptions in Key Concept 4.3 hold.
a. Write the model in the matrix form given in Equations (18.2) and (18.4).
b. Show that Assumptions #1 through #4 in Key Concept 18.1 are satisfied.
c. Use the general formula for
in Equation (18.11) to derive the expressions for
and
given in Key Concept 4.2.
d. Show that the (1,1) element of
in Equation (18.13) is equal to the expression for
given in Key Concept 4.4.