Show that 11eb817c_781a_4fe5_84e6_2d6f531407ec_SM2685_11 is the efficient GMM estimator-that is, that 11eb817c_781a_4fe6_84e6_c1861488dde8_SM2685_11 Equation (18.66) is the solution to Equation (18.65). b. Show that 11eb817c_781a_4fe7_84e6_e97641eb4ce6_SM2685_11 c. Show that 11eb817c_781a_4fe8_84e6_35c3da59ff91_SM2685_11

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

Edition 3ISBN: 978-9352863501

Edition 3ISBN: 978-9352863501

Exercise 3

Show that

is the efficient GMM estimator-that is, that

Equation (18.66) is the solution to Equation (18.65).
b. Show that

c. Show that

Explanation

Verified

a) The following matrix is to be minimiz...