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

تمرين 16

Suppose that ( Y i, X i ) satisfy the assumptions in Key Concept 4.3 and, in addition, u i , is N( 0, u 2 ,) and is independent of X t.
a. Is
conditionally unbiased
b. Is
the best linear conditionally unbiased estimator of 1
c. How would your answers to (a) and (b) change if you assumed only that ( Y i X i ,) satisfied the assumptions in Key Concept 4.3 and var
is constant
d. How would your answers to (a) and (b) change if you assumed only that ( Y i X i ,) satisfied the assumptions in Key Concept 4.3