Question Consider the heterogeneous regression model Y; = Boi + Bi;X; + Uj, where By and Bi; are random variables that differ from one observation to the next. Suppose that E(u;|X;) = 0 and (Bozs Bu) are distributed independently of X. a. Let ßpLS denote the OLS estimator of B1 given in Equation (17.2). Show that BLS P, E(B), where E(B) is the average value of Bi; in the population. b. Suppose that var(u;|X;) = 0, + 0,X}, where 0, and 0 are known posi- tive constants. Let BLS denote the weighted least squares estimator. Does BWLS P, E(B1)? Explain. Equation (17.2). 2(X, - X)(Y; – Y) i=1 Σ-X

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Solve this By using Equation 17.2

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Consider the heterogeneous regression model Y; = Boi + Bi;X; + Uj, where
By and Bi; are random variables that differ from one observation to the next.
Suppose that E(u;|X;) = 0 and (Bozs Bu) are distributed independently of X.
a. Let ßpLS denote the OLS estimator of B1 given in Equation (17.2).
Show that BLS P, E(B), where E(B) is the average value of Bi; in
the population.
b. Suppose that var(u;|X;) = 0, + 0,X}, where 0, and 0 are known posi-
tive constants. Let BLS denote the weighted least squares estimator.
Does BWLS P, E(B1)? Explain.
Equation (17.2).
2(X, - X)(Y; – Y)
i=1
Σ-X
Transcribed Image Text:Question Consider the heterogeneous regression model Y; = Boi + Bi;X; + Uj, where By and Bi; are random variables that differ from one observation to the next. Suppose that E(u;|X;) = 0 and (Bozs Bu) are distributed independently of X. a. Let ßpLS denote the OLS estimator of B1 given in Equation (17.2). Show that BLS P, E(B), where E(B) is the average value of Bi; in the population. b. Suppose that var(u;|X;) = 0, + 0,X}, where 0, and 0 are known posi- tive constants. Let BLS denote the weighted least squares estimator. Does BWLS P, E(B1)? Explain. Equation (17.2). 2(X, - X)(Y; – Y) i=1 Σ-X
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