Question: Take the linear model Y Xe with E[e j X] 0 and X 2 R. Consider the estimator b Pni 1 X3

Take the linear model Y Æ X¯Åe with E[e j X] Æ 0 and X 2 R. Consider the estimator b¯ Æ

Pni

Æ1 X3 i Yi Pni

Æ1 X4 i

.

Find the asymptotic distribution of p

n

¡ b¯¡¯

¢

as n!1.

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