Consider the econometric model y = X+, =(₁,₂,...,_t)' where the disturbance conditions are independent with mean value 0 and variation that is constant, V(_t)=², up to the T₁ observation of the sample, and from the next day observation until the end of the sample varies according to its square variable z_t, ie V(_t)=z_t² for t = ₁+1, ₁+2, T. (1) Show that the estimator of least squares of the vector of the coefficient is impartial and find its variation.

(2) Find the GLS estimator of the vector and its variation. Which of the above evaluators would you choose for statistical inference and why?