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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 9
(Consistency of clustered standard errors.) Consider the panel data model
where all variables are scalars. Assume that Assumption #1, #2, and #4 in Key Concept 10.3 hold and strengthen Assumption #3 so that X it and u it have eight nonzero finite moments. Let M = I T T 1 , where is a T × 1 vector ones, Also let Y i = ( Y i 1 · Y i 2 … Y iT ) , X i = ( X i 1 X i 2 … X iT ) , u i = ( u i 1 u i 2 … u iT ) ,
, and
. For the asymptotic calculations in this problem, suppose that T is fixed and n
where all variables are scalars. Assume that Assumption #1, #2, and #4 in Key Concept 10.3 hold and strengthen Assumption #3 so that X it and u it have eight nonzero finite moments. Let M = I T T 1 , where is a T × 1 vector ones, Also let Y i = ( Y i 1 · Y i 2 … Y iT ) , X i = ( X i 1 X i 2 … X iT ) , u i = ( u i 1 u i 2 … u iT ) , , and . For the asymptotic calculations in this problem, suppose that T is fixed and nExplanation
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a) The OLS estimator can be written as i...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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