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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 9
Consider the regression model in Key Concept 17.1 and suppose that Assumptions #1, #2, #3, and #5 hold. Suppose that Assumption #4 is replaced by the assumption that 
, where 
is the absolute value of 
, and 1 0.
a. Is the OLS estimator of 1 BLUE
b. Suppose that 0 and 1 are known. What is the BLUE estimator of 1
c. Derive the exact sampling distribution of the OLS estimator,
, conditional on X₁..., X n.
d. Derive the exact sampling distribution of the WLS estimator (treating 0 and 1 as known) of 1 , conditional on X₁..., X n.
, where is the absolute value of , and 1 0.a. Is the OLS estimator of 1 BLUE
b. Suppose that 0 and 1 are known. What is the BLUE estimator of 1
c. Derive the exact sampling distribution of the OLS estimator,
, conditional on X₁..., X n. d. Derive the exact sampling distribution of the WLS estimator (treating 0 and 1 as known) of 1 , conditional on X₁..., X n.
Explanation
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a) For the simple linear regression 
The...
Introduction to Econometrics 3rd Edition by James Stock, James Stock
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