Question: Take the regression model This is aWLS estimator using the weights e2 i . (a) Find the asymptotic distribution of e. (b) Contrast your result

Take the regression modelY = X'+e E[e]X]=0 Ele |Xx]=02(x) with X Rk. Assume that P[e=

This is aWLS estimator using the weights e¡2 i .

(a) Find the asymptotic distribution of e¯.

(b) Contrast your result with the asymptotic distribution of infeasible GLS.

Y = X'+e E[e]X]=0 Ele |Xx]=02(x) with X Rk. Assume that P[e= 0] = 0. Consider the infeasible estimator n B= -(xx)*(**).

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