Question: For the model in Exercise 9, what is the probability limit of s 2 = 1/n n i=1 (y i ?? y) 2 ?

For the model in Exercise 9, what is the probability limit of s²= 1/n Σⁿ_i=1(y_i?? y̅)²? Note that s²is the least squares estimator of the residual variance. It is also n times the conventional estimator of the variance of the OLS estimator,

How does this equation compare with the true value you found in part b of Exercise 9? Does the conventional estimator produce the correct estimator of the true asymptotic variance of the least squares estimator?

s2 Est. Var [y] = s(X'X)-1 =

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