Suppose that y has the pdf f(y
Chapter 10, Problem 7(choose chapter or problem)
Suppose that y has the pdf f(y | x) = (1/x )ey/( x) , y > 0. Then E [y | x] = x and Var[y | x] = ( x)2. For this model, prove that GLS and MLE are the same, even though this distribution involves the same parameters in the conditional mean function and the disturbance variance
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