Question: 15.8 Consider the model in Exercise 15.7 with Xt = u t + 1. a. Is the OLS estimator of b1 consistent? Explain. b.

15.8 Consider the model in Exercise 15.7 with Xt = u 

t + 1.

a. Is the OLS estimator of b1 consistent? Explain.

b. Explain why the GLS estimator of b1 is not consistent.

c. Show that the infeasible GLS estimator b nGLS 1 ยก p b1 -

f1 1 + f21

.

[Hint: Use the omitted variable formula (6.1) applied to the quasidifferenced regression in Equation (15.23)].

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