Question: Take the model Y X0e with E[Ze] 0. Let eei Yi X0 i e where e is consistent for (e.g.

Take the model Y Æ X0¯Åe with E[Ze] Æ 0. Let eei Æ Yi ¡ X0 i

e¯ where e¯ is consistent for ¯

(e.g. a GMMestimator with some weight matrix). An estimator of the optimal GMMweight matrix isW = n i=1

Show that cW ¡!
p ­¡1 where ­Æ E £
Z Z0e2¤
.

W = n i=1

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