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: 11eb817c_77e7_58e2_84e6_9b5533269733_SM2685_00 where 11eb817c_77e7_58e3_84e6_595e6007319b_SM2685_11 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 11eb817c_77e7_58e4_84e6_2f32c2fb2ca6_SM2685_00 consistent

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

النسخة 3الرقم المعياري الدولي: 978-9352863501

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

النسخة 3الرقم المعياري الدولي: 978-9352863501

تمرين 3

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

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موثّق

Two-stage least squares regression is a ...