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Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501 Exercise 7
A classmate is interested in estimating the variance of the error term in Equation (12.1).
a. Suppose that she uses the estimator from the second-stage regression of TSLS:
where 
is the fitted value from the first-stage regression. Is this estimator consistent (For the purposes of this question suppose that the sample is very large and the TSLS estimators are essentially identical to ß 0 and ß Y )
b. Is
consistent 
a. Suppose that she uses the estimator from the second-stage regression of TSLS:
where is the fitted value from the first-stage regression. Is this estimator consistent (For the purposes of this question suppose that the sample is very large and the TSLS estimators are essentially identical to ß 0 and ß Y ) b. Is
consistent Explanation
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Two-stage least squares regression is a ...
Introduction to Econometrics 3rd Edition by James Stock, James Stock
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