Question: If the regression model is i 0 i y = ???? +???? , for the structural form of heteroscedasticity given in problems 4-19, answer the

If the regression model is i 0 i y = ???? +???? , for the structural form of heteroscedasticity given in problems 4-19, answer the following questions.

(i) What is the most efficient estimator of ????0 ? What is its variance?

(ii) What is the OLS estimator of ????0 and what is the variance of the OLS estimator?

(iii) Show that the OLS estimator of ????0 is never as efficient as the GLS estimator.

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