Let e i be the ith residual in the ordinary least squares regression of y on X

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Let ei be the ith residual in the ordinary least squares regression of y on X in the classical regression model, and let εi be the corresponding true disturbance. Prove that plim(ei − εi) = 0.

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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