Exercise 7.1 Take the model Y = X{B1+XB2+e with E[Xe] = 0. Suppose that B1 is estimated by regress- ing Y on X1 only. Find the probability limit of this estimator. In general, is it consistent for B1? If not, under what conditions is this estimator consistent for B1?

A First Course in Probability (10th Edition)
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ISBN:9780134753119
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Chapter1: Combinatorial Analysis
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Exercise 7.1 Take the model Y = X{ß1 +X;ß2+e with E[Xe] = 0. Suppose that B, is estimated by regress-
ing Y on X1 only. Find the probability limit of this estimator. In general, is it consistent for B1? If not,
under what conditions is this estimator consistent for B1?
Transcribed Image Text:Exercise 7.1 Take the model Y = X{ß1 +X;ß2+e with E[Xe] = 0. Suppose that B, is estimated by regress- ing Y on X1 only. Find the probability limit of this estimator. In general, is it consistent for B1? If not, under what conditions is this estimator consistent for B1?
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