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Consider the linear probability model: Yi = β0 + β1Xi + Ui   Furthermore, suppose that the true model of probability in the world is that: P( Y = 1|X) = β0 + β1X   a) First show that E(u|X) = 0 (Take the expectation of the regression and the expectation of Y as a Bernoulli. These must be equal.)   b) Derive the conditional variance of U given X, Var(U|X).   c) Is U heteroscedastic?

Consider the linear probability model: Yi = β0 + β1Xi + Ui   Furthermore, suppose that the true model of probability in the world is that: P( Y = 1|X) = β0 + β1X   a) First show that E(u|X) = 0 (Take the expectation of the regression and the expectation of Y as a Bernoulli. These must be equal.)   b) Derive the conditional variance of U given X, Var(U|X).   c) Is U heteroscedastic?

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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Consider the linear probability model: Yi = β0 + β1Xi + Ui

 

Furthermore, suppose that the true model of probability in the world is that: P( Y = 1|X) = β0 + β1X

 

a) First show that E(u|X) = 0 (Take the expectation of the regression and the expectation of Y as a Bernoulli. These must be equal.)

 

b) Derive the conditional variance of U given X, Var(U|X).

 

c) Is U heteroscedastic?

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