In the discussion of the instrumental variables estimator, we showed that the least squares estimator b is

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In the discussion of the instrumental variables estimator, we showed that the least squares estimator b is biased and inconsistent. Nonetheless, b does estimate something: plim b = θ = β + Q−1γ. Derive the asymptotic covariance matrix of b, and show that b is asymptotically normally distributed.

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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