ercise 8.4 In the linear projection model Y= a + X'ß+ e consider the restriction B=0. (a) Find the CLS estimator of a under the restriction ß=0. (b) Find an expression for the efficient minimum distance estimator of a under the restriction p=0.
ercise 8.4 In the linear projection model Y= a + X'ß+ e consider the restriction B=0. (a) Find the CLS estimator of a under the restriction ß=0. (b) Find an expression for the efficient minimum distance estimator of a under the restriction p=0.
MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
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Chapter1: Starting With Matlab
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Step 1: when beta=0,the linear projection model Y=alpha +beta +e reduces to Y=alpha +e
VIEWStep 2: this is the CLS estimator of alpha under the restriction beta=0
VIEWStep 3: To obtain the maximum likelihood estimator of alpha
VIEWStep 4: Estimate the value of alpha using a method such as OLS and CLS
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