Question: Take the model Y X0 e. Consider the m-estimator of with (Y ,X,) g Y X0 where g (u) is

Take the model Y Æ X0µ Åe. Consider the m-estimator of µ with ½(Y ,X,µ) Æ g

¡

Y ¡X0µ

¢

where g (u) is a known function.

(a) Find the functions ½(Y ,X,µ) and Ã(Y ,X,µ).

(b) Calculate the asymptotic covariance matrix.

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