Take themodel Y X0 11 X0 22 e E e j X 0 E e2 j X 2 where X (X1,X2), with X1 k11 and X2 k21 Consider the short regression Yi X0 1i b1bei and define the error variance estimator s2 (n k1)1Pni 1 be2 i Find E s2 j X

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Question: Take themodel Y X0 11 X0 22 e E[e j X] 0 E e2 j X 2 where X

Take themodel Y Æ X0 1¯1 ÅX0 2¯2 Åe E[e j X] Æ 0 E

e2 j X

Æ ¾2 where X Æ (X1,X2), with X1 k1£1 and X2 k2£1. Consider the short regression Yi Æ X0 1i b¯1Åbei and define the error variance estimator s2 Æ (n ¡k1)¡1Pni

Æ1 be2 i . Find E

s2 j X

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