a) Suppose that she uses the estimator from the second-stage regression of TSLS: 1 n Σ" (Y, – BTSLS – BTSLS Ŷ, )², where , is the fitted value from the first-stage - di=1 n-2 regression. Is this estimator consistent? (For the purposes of this question suppose that the sample is very large and the TSLS estimators are essentially identical to Bo and B₁). 1 n-2 b) Is o = n Σ" (Y₁ - BTSLS - BTSLS X.) consistent? i=1

MATLAB: An Introduction with Applications
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Author:Amos Gilat
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A classmate is interested in estimating the variance of the error term in Yi = β0 + β1Xi + ui.

a.) found on atta

b.) found on attachment 

a) Suppose that she uses the estimator from the second-stage regression of TSLS:
1
ô²2 ·Σ" (Y, – BISLS – BISLS Ŷ₁)², where Â, is the fitted value from the first-stage
a
i=1
n- 2
regression. Is this estimator consistent? (For the purposes of this question suppose that the
sample is very large and the TSLS estimators are essentially identical to ßo and B₁).
1
b) Is ô²=¹" (Y,-ÂTSLS – BTSLSX,) consistent?
Σ
-
i=1
n-2
Transcribed Image Text:a) Suppose that she uses the estimator from the second-stage regression of TSLS: 1 ô²2 ·Σ" (Y, – BISLS – BISLS Ŷ₁)², where Â, is the fitted value from the first-stage a i=1 n- 2 regression. Is this estimator consistent? (For the purposes of this question suppose that the sample is very large and the TSLS estimators are essentially identical to ßo and B₁). 1 b) Is ô²=¹" (Y,-ÂTSLS – BTSLSX,) consistent? Σ - i=1 n-2
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