Suppose that in the groupwise heteroscedasticity model of Section 9.7.2, X i is the same for all

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Suppose that in the groupwise heteroscedasticity model of Section 9.7.2, Xi is the same for all i.What is the generalized least squares estimator of β? How would you compute the estimator if it were necessary to estimate σ2i?

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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