Question: Take the projection model Y X0e with E[Xe] 0. For a positive function w(x) let Wi w(Xi ). Consider the estimator Find

Take the projection model Y Æ X0¯Åe with E[Xe] Æ 0. For a positive function w(x) let Wi Æ w(Xi ). Consider the estimator n B=WXX n WiXixi).

Find the probability limit (as n !1) of e¯. Do you need to add an assumption? Is e¯ consistent for e¯? If not, under what assumption is e¯ consistent for ¯?

n B=WXX n WiXixi).

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