The modely 1 = 1 x 1 + 1 ,y 2 = 2 x
Question:
The modely1= β1x1+ ε1,y2= β2x2+ ε2
satisfies all the assumptions of the classical multivariate regression model. All variables have zero means. The following sample second-moment matrix is obtained from a sample of 20 observations:
a. Compute the FGLS estimates of β1 and β2.
b. Test the hypothesis that β1 = β2.
c. Compute the maximum likelihood estimates of the model parameters.
d. Use the likelihood ratio test to test the hypothesis in part b.
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Step by Step Answer:
The ordinary least squares estimates of the parameters are Then the variances and covariance of the disturbances are We will require Then the FGLS est...View the full answer
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