For the model in Exercise 9, suppose that is normally distributed, with mean zero and variance
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For the model in Exercise 9, 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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The residuals from the least squares regression are The expected value of the squared residual is si...View the full answer
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