You have a dataset of i.i.d. observations (Y, X), where Y; = Bo + B1 X; + U4. %3D Suppose that the three key assumptions of OLS hold. In particular, E(U,|X;) = 0. %3D

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(c) True of False. If Var(U) = o and Var(U|X.) = X²o?, and we use
the homoskedastic-only formula to compute the standard errors, then
the OLS estimator B1 will be unbiased but inconsistent.
(d) Suppose that you know Bo B1. Derive a formula for the least squares
estimator of B1.
!!
Transcribed Image Text:(c) True of False. If Var(U) = o and Var(U|X.) = X²o?, and we use the homoskedastic-only formula to compute the standard errors, then the OLS estimator B1 will be unbiased but inconsistent. (d) Suppose that you know Bo B1. Derive a formula for the least squares estimator of B1. !!
Question 3. Basics about OLS.
You have a dataset of i.i.d. observations (Y,, X;), where
Y; = Bo + B1 X; + U4.
Suppose that the three key assumptions of OLS hold. In particular, E(U;|X;) =
0.
(a) Prove that E(U) = 0.
(b) Prove that E(X?U.) = 0.
Transcribed Image Text:Question 3. Basics about OLS. You have a dataset of i.i.d. observations (Y,, X;), where Y; = Bo + B1 X; + U4. Suppose that the three key assumptions of OLS hold. In particular, E(U;|X;) = 0. (a) Prove that E(U) = 0. (b) Prove that E(X?U.) = 0.
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