Question: (d) Assume that true model is y = XB+X2 2 + (1) where E (|X1, X2)=0, but we mistakenly fit the following y =

(d) Assume that true model is y = XB+X2 2 + (1) where E (|X1, X2)=0, but we mistakenly fit the following y = X+u (2) | where error term in (2) is u =X 22 + Is , from (2) an unbiased estimate for all scenarios? Prove.

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