Suppose we change the assumptions of the model to AS5:(xi,) are an independent and
Chapter 5, Problem 8(choose chapter or problem)
Suppose we change the assumptions of the model to AS5:(xi,) are an independent and identically distributed sequence of random vectors such that xi has a finite mean vector, x, finite positive definite covariance matrix xx and finite fourth moments E [xj xkxl xm] = jklm for all variables. How does the proof of consistency and asymptotic normality of b change? Are these assumptions weaker or stronger than the ones made in Section 5.2?
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