Suppose that the regression model is y = + , where has a zero mean, constant variance
Chapter 10, Problem 8(choose chapter or problem)
Suppose that the regression model is y = + , where has a zero mean, constant variance, and equal correlation across observations. Then Cov[i, j] = 2 if i = j. Prove that the least squares estimator of is inconsistent. Find the characteristic roots of and show that Condition 2. after Theorem 10.2 is violated.
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