For the model in Exercise 1, suppose that is normally distributed, with mean zero and variance

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For the model in Exercise 1, suppose that ε is normally distributed, with mean zero and variance σ2 [1 + (γ x)2]. Show that σ2 and γ2 can be consistently estimated by a regression of the least squares residuals on a constant and x2. Is this estimator efficient?

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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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