For the model in Exercise 1, suppose that is normally distributed, with mean zero and
Chapter 11, Problem 7(choose chapter or problem)
For the model in Exercise 1, suppose that is normally distributed, with mean zero and variance 2[1 + ( x)2]. Show that 2 and 2 can be consistently estimated by a regression of the least squares residuals on a constant and x2. Is this estimator efficient?
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