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2. Consider a two equation model 9, B,p, +B₂y, +u, 9₁ = ap, + e, t=1,2,..., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance 12 for all t. (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.

2. Consider a two equation model 9, B,p, +B₂y, +u, 9₁ = ap, + e, t=1,2,..., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance 12 for all t. (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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H3.
2. Consider a two equation model 9, Bp, +B₂y, +u, = 9₁ = ap, + e, t=1,2,., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance for all t. 0 12 (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.
Transcribed Image Text:2. Consider a two equation model 9, Bp, +B₂y, +u, = 9₁ = ap, + e, t=1,2,., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance for all t. 0 12 (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.
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