Take the simple regression model Y Xe, X 2 R, E[e j X] 0. Define 2i E e2 i j Xi

Take the simple regression model Y Æ X¯Åe, X 2 R, E[e j X] Æ 0. Define ¾2i

Æ E

£

e2 i

j Xi

¤

and ¹3i Æ E

£

e3 i

j Xi

¤

and consider the OLS coefficient b¯. Find E h¡ b¯¡¯

¢3 j X i

.