In the discussion of the instrumental variable estimator, we showed that the least squares estimator, b LS

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In the discussion of the instrumental variable estimator, we showed that the least squares estimator, bLS, is biased and inconsistent. Nonetheless, bLS does estimate something—see (8-4). Derive the asymptotic covariance matrix of bLS and show that bLS is asymptotically normally distributed.

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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