Question: Consider the Linear Regression Model For any X = x, let Y = x + U, where R k . X is exogenous The probability

Consider the Linear Regression Model

  1. For any X = x, let Y = x + U, where R k .
  2. X is exogenous
  3. The probability model is {f(u; )is a distribution on R : Ef [U] = 0, Varf [U] = 2 , > 0} .
  4. Sampling model: {Yi} n i=1 is an independent sample,where the Ui are a IID(0, 2 ).

Consider the Linear Regression Model For any X = x, let Y

Let X be the n x k matrix of regressors, and let Y be the n x 1 vector of the dependent variable. 1. Compute BLs by minimizing (Y - XB) (Y - XB) , where B ERk. 2. Prove that BLS P B, V( B. ( ) ERk x R

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