ECON 710 Midterm: ECON 710 UW Madison Midterm 2002
Document Summary
T he model is iid dat a, i = 1, , n, E (e | x) = 0 where x is n (cid:215) k, is k (cid:215) m, k > m, is m (cid:215) 1. Suppose t hat is unknown, but it is est imat ed by (cid:136) which sat is es (cid:136) p . Assume t hat has full rank m and t hat = 0 (hint : bot h are import ant ). Set (cid:136)z = x (cid:136) , and let (cid:136) = (cid:136)z 0y. Derive t he asympt ot ic dist ribut ion of n(cid:136) . 1 (cid:136)z 0 (cid:136)z: t he model is iid dat a, i = 1, , n, yi = x0. E (ei | xi) = 0 i + ei. Let (cid:136) be t he ols est imat or of , and let (cid:136)vn be t he whit e covariance mat rix est imat or of vn =
