Consider the regression model 11eb817c_7783_1850_84e6_6f80894dd727_SM2685_11 where u i , and X i satisfy the assumptions in Key Concept 4.3. Let 11eb817c_7783_1851_84e6_535b423d13da_SM2685_11 denote an estimator of that is constructed as 11eb817c_7783_1852_84e6_3bcb3f788ed6_SM2685_11 where 11eb817c_7783_1853_84e6_ededc81fcbf6_SM2685_11 and 11eb817c_7783_1854_84e6_2b19ff42e9c6_SM2685_11 are the sample means of Y i and X i , respectively. a. Show that 11eb817c_7783_1855_84e6_c9c49a35825a_SM2685_11 is a linear function of Y 1 , Y 2 ,..., Y n. b. Show that 11eb817c_7783_1856_84e6_f73038ff5bfb_SM2685_11 is conditionally unbiased.

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

Edition 3ISBN: 978-9352863501

Edition 3ISBN: 978-9352863501

Exercise 10

Consider the regression model

where u i , and X i satisfy the assumptions in Key Concept 4.3. Let

denote an estimator of that is constructed as

where

and

are the sample means of Y i and X i , respectively.
a. Show that

is a linear function of Y 1 , Y 2 ,..., Y n.
b. Show that

is conditionally unbiased.

Explanation

Verified

Regression analysis is a statistical ana...