Prove Equation (17.16) under Assumptions #1 and #2 of Key Concept 17.1 plus the assumption that Xi

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Prove Equation (17.16) under Assumptions #1 and #2 of Key Concept 17.1 plus the assumption that Xi and ui have eight moments.

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Introduction to Econometrics

ISBN: 978-0133595420

3rd edition

Authors: James H. Stock, Mark W. Watson

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Question Posted: Apr 29, 2016 03:37 PM

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Prove Equation (17.16) under Assumptions #1 and #2 of Key Concept 17.1 plus the assumption that Xi

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We need to prove Using the identity The definition of implies Substituting this ...View the full answer

Introduction to Econometrics

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