Question: 5.14 Suppose that Yi = bXi + ui, where (ui, Xi) satisfy the GaussMarkov conditions given in Equation (5.31). a. Derive the least squares estimator

5.14 Suppose that Yi = bXi + ui, where (ui, Xi) satisfy the Gauss–Markov conditions given in Equation (5.31).

a. Derive the least squares estimator of b and show that it is a linear function of Y1,c, Yn.

b. Show that the estimator is conditionally unbiased.

c. Derive the conditional variance of the estimator.

d. Prove that the estimator is BLUE.

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