Question: Assume the data are generated from the GN-SLR setting, Yi =BIXitci, i=1, . . .,n where ci ~ N(0, 02). We only have the observed

 Assume the data are generated from the GN-SLR setting, Yi =BIXitci,

Assume the data are generated from the GN-SLR setting, Yi =BIXitci, i=1, . . .,n where ci ~ N(0, 02). We only have the observed versions of (Yi, Xil), which are (x11, y1), . .., (Inl, Un). We want to estimate B1 and o2 with these data using the Maximum Likelihood Method. (a) Show that the likelihood function is n L( Bo, B1, 02) = (2702) 2/2] [expl -2 2(yi - Bixil)'} i=1 (b) Compute the negative log-likelihood function 1(Bo, B1, 02) = - log L(Bo, B1, 02) (c) Show that the MLE estimator for B1 is GMLE Liliyi (d) Show that the MLE estimator for o2 is (02) MLE - Lil(yi - BMLExil)2 n

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