Question: Consider the model Y X0e given E[Ze] 0 and R0 0. The dimensions are X 2 Rk and Z 2 R` with

Consider the model Y Æ X0¯Åe given E[Ze] Æ 0 and R0¯ Æ 0. The dimensions are X 2 Rk and Z 2 R` with ` È k. The matrix R is k £q, 1 · q Ç k. Derive an efficient GMMestimator for ¯.

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