Question: (Errors in Variables) Reconsider the model of errors in explanatory variables in Example 20.1. Assume that the variables x, U. and an arc i.i.d. from

(Errors in Variables) Reconsider the model of errors in explanatory variables in Example 20.1. Assume that the variables x, U. and an arc i.i.d. from a joint distribution with finite first and second moments.

(a) Show that the parameters in o are not identified.

(b) Give an interpretation of the inconsistency of OLS in terms of your analysis of identification.

(c) Extend your analysis to the model in Exercise 20.8.

(d) Suppose that necessary fourth moments exist and derive a GMM estimator for this model.

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