Question: Take themodel Y e with E[Xe] 0, Y 2 R, X 2 Rk and (Yi ,Xi ) a random sample. (a) Find the

Take themodel Y Æ µÅe with E[Xe] Æ 0, Y 2 R, X 2 Rk and (Yi ,Xi ) a random sample.

(a) Find the efficient GMMestimator of µ.

(b) Is this model over-identified or just-identified?

(c) Find the GMMtest statistic for over-identification.

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