Question: d. Estimating a and b based on a random sample from a continuous uniform population distribution. *18. (Generalized least squares estimator) Consider the linear model

d. Estimating a and b based on a random sample from a continuous uniform population distribution.

*18. (Generalized least squares estimator) Consider the linear model Y = x{3 + E in which all of the classical assumptions apply, except that Eee' = ~ =1= (121. Consider a GMM estimator of the parameter vector (3 based on the moment conditions Egt(Yt,{3) = EZ;.(Yt - xt.(3) = [0), where z = ~-lX.

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