Question: Exercise 7.14 Take the model Y = XiBI+ X2B2 + e E[Xe] = 0 with both 61 e R and B2 e R, and define

Exercise 7.14 Take the model Y = XiBI+ X2B2 + e E[Xe] = 0 with both 61 e R and B2 e R, and define the parameter 0 = 1 /2. (a) What is the appropriate estimator 0 for 0? (b) Find the asymptotic distribution of 0 under standard regularity conditions. (c) Show how to calculate an asymptotic 95% confidence interval for 0

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