Question: Suppose that y has the pdf f (y | x) = (1/x' ) ey/(x') , y > 0. Then E[y | x] = x' and

Suppose that y has the pdf f (y | x) = (1/x' β)^e−y/(x'β), y > 0.

Then E[y | x] = x'β and Var[y | x] = (x'β)². For this model, prove that GLS and MLE are the same, even though this distribution involves the same parameters in the conditional mean function and the disturbance variance.

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