2. Consider a two equation model 9, B,p, +B₂y, +u, 9₁ = ap, + e, t=1,2,..., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance 12 for all t. (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.
2. Consider a two equation model 9, B,p, +B₂y, +u, 9₁ = ap, + e, t=1,2,..., T. T is the sample size. where q, and p, are endogenous variables, y, is an exogenous variable, u, and e, are serially uncorrelated disturbances with zero means, with respective variances of and o2 and covariance 12 for all t. (a) Examine the identifiability of the above given equations. (b) Examine the consistency of the ordinary least squares estimator of a. (c) Derive the two stage least squares estimator of a. (d) Without derivation, explain what would be the indirect least squares estimator of a.
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter1: Functions
Section1.2: The Least Square Line
Problem 1E
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