Question: Construct the t-test statistic .. 1. Consider the linear regression model yi = Tip + ei er; ~ N (0, cail), where c is an

Construct the t-test statistic ..

1. Consider the linear regression model yi = Tip + ei er; ~ N (0, cail), where c is an unknown positive constant. (a) Note that we assume that e, given a; has a normal distribution. Util- ising this information, we estimate S using the maximum likelihood method. Show the consistency of the MLE of / and derive its asymp- totic distribution. (b) Construct the t-test statistic for the null hypothesis of S = 1 and find its asymptotic distribution

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