Question: Take a regression model with i.i.d. observations (Yi ,Xi ) with X 2 R Let b be the OLS estimator of with residuals bei

Take a regression model with i.i.d. observations (Yi ,Xi ) with X 2 RY = X+e E[eX]=0 2=E[X].

Let b¯ be the OLS estimator of ¯ with residuals bei Æ Yi ¡Xi b¯. Consider the estimators of ­image text in transcribed

(a) Find the asymptotic distribution of p n ¡
e­
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¢
as n!1.

(b) Find the asymptotic distribution of p n ¡
b­
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¢
as n!1.

(c) How do you use the regression assumption E[ei j Xi ] Æ 0 in your answer to (b)?

Y = X+e E[eX]=0 2=E[X].

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