Question: Let the regression equation between Y and Xs be given by, i 0 1 1i k ki i Y = ???? +???? X +........+???? X

Let the regression equation between Y and X’s be given by, i 0 1 1i k ki i Y = ???? +???? X +........+???? X +???? , i i i ???? Y = x????????+???? , where i i E(???? |x ) = 0 and 2 2 ???? ???? 2 ???? ????

i i i 1 1i 2 2i p pi Var(???? |x ) = ???? = ???? exp ???? z +???? z +......+???? z = ???? exp z???????? , where i z 's are the nonstochastic variables which are identical to the X’s or function of X’s. Given a sample of observations on Y and X’s, discuss the technique to obtain the feasible generalised least squares (FGLS) estimator of ????.

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