Question: Take the linear model Y X0 e with E[e j X] 0. Suppose 2(x) E e2 j X x

Take the linear model Y Æ X0¯ Å e with E[e j X] Æ 0. Suppose ¾2(x) Æ E

£

e2 j X Æ x

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is known. Show that the GLS estimator of ¯ can be written as an IV estimator using some instrument Z. (Find an expression for Z.)

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