Question: The observed data is {Yi ,Xi } 2 RRk , k 1, i 1, ...,n. Take the model Y X0e with E[Xe]

The observed data is {Yi ,Xi } 2 R£Rk , k È 1, i Æ 1, ...,n. Take the model Y Æ X0¯Åe with E[Xe] Æ 0.

(a) Write down an estimator for ¹3 Æ E

£

e3¤

.

(b) Explain how to use the percentile method to construct a 90% confidence interval for ¹3 in this specific model.

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