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WhereXis ann×knon-singular matrix of regressors that are fixed in repeated sampling,βak×1 vector of unknown parameters,ann×1 vector error term, andΩann×npositive definitematrix

Posted on January 6, 2021 by Geoffrey

Consider the following model:y=Xβ+;∼(0,σ2Ω)(10)whereXis ann×knon-singular matrix of regressors that are fixed in repeated sampling,βak×1 vector of unknown parameters,ann×1 vector error term, andΩann×npositive definitematrix.a) LetΩ=InwhereInis an identity matrix of ordern. Letˆβdenote the ordinary least squaresestimator ofβ. Consider any arbitrary linear estimator ̃β∗. Show thatˆβindeed attains theminimum sum of squares of residuals compared to any other ̃β∗.[40%]b) […]

where xi is fixed in repeated sampling, and the random disturbance termisatisfies the usualassumptions ofE(i) = 0∀iE(2i) =σ2∀iE(ij) = 0∀i6=j

Posted on January 6, 2021 by Geoffrey

EC2020 Econometrics I: Christmas ProjectThis is the project for this module that counts 60%. All questions carry the same weight.The submission deadline is 3:00pm, Tuesday 12th of January 2021. Collusion and plagiarism will not betolerated, and punished ruthlessly according to the strict University regulations on academic integrity.1. Consider the following model:yi=α+βxi+i;i= 1,2,···,n(1)wherexiis fixed in repeated […]