Question: For the model in Exercise 9, suppose that is normally distributed, with mean zero and variance 2 [1 + ( x) 2 ].

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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