For the model in the previous exercise, what is the probability limit of s2 = 1 n n i=1
Chapter 11, Problem 2(choose chapter or problem)
For the model in the previous exercise, what is the probability limit of s2 = 1 n n i=1 (yi y)2? Note thats2 is the least squares estimator of the residual variance. It is also n times the conventional estimator of the variance of the OLS estimator, Est. Var[y] = s2 (X X) 1 = s2 n . How does this equation compare with the true value you found in part b of Exercise 1? Does the conventional estimator produce the correct estimate of the true asymptotic variance of the least squares estimator?
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