Question: I will attach my question. Exercise 7.27 Take the regression model Vi = x;B+ei E(eil xi) = 0 E (e? 1 x 1 ) =

I will attach my question.

Exercise 7.27 Take the regression model Vi = x;B+ei E(eil xi) = 0 E (e? 1 x 1 ) = 0? with x; E RK . Assume that P(e; = 0) =0. Consider the infeasible estimator n B = xivil. This is a WLS estimator using the weights e-2. (a) Find the asymptotic distribution of B. (b) Contrast your result with the asymptotic distribution of infeasible GLS

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