Question: Take themodel Y exp X0 e with E[Ze] 0, where X is k 1 and Z is `1. (a) What relationship

Take themodel Y Æ exp

¡

X0µ

¢

Åe with E[Ze] Æ 0, where X is k £1 and Z is `£1.

(a) What relationship between ` and k is necessary for identification of µ?

(b) Describe how to estimate µ by GMM.

(c) Describe an estimator of the asymptotic covariance matrix.

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