The model is Y X0e with E[e j X] 0. An econometrician is worried about the impact of some unusually large values of

The model is Y Æ X0¯Åe with E[e j X] Æ 0. An econometrician is worried about the impact of some unusually large values of the regressors. The model is thus estimated on the subsample for which jXi j · c for some fixed

c. Let e¯ denote the OLS estimator on this subsample. It equals

(a) Show that e¯ ¡!
p ¯.

(b) Find the asymptotic distribution of p n ¡ e¯¡¯
¢
.

T = n XXX1 {X} = c} i=1 XY1 |X| c) i=1 180