Question: Take themodel Y X11 X22 e E[Xe] 0 with both 1 2 R and 2 2 R, and define the parameter

Take themodel Y Æ X1¯1 ÅX2¯2 Åe E[Xe] Æ 0 with both ¯1 2 R and ¯2 2 R, and define the parameter µ Æ ¯1¯2.

(a) What is the appropriate estimator bµ for µ?

(b) Find the asymptotic distribution of bµ under standard regularity conditions.

(c) Show how to calculate an asymptotic 95% confidence interval for µ.

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