Suppose that the regression model is yi = + xi + i, where the disturbances ihave

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Question:

Suppose that the regression model is yi = α + βxi + εi, where the disturbances εihave f(εi) = (1/λ) exp(−λεi), εi ≥ 0. This model is rather peculiar in that all thedisturbances are assumed to be positive. Note that the disturbances have E [εi | xi] =λ and Var[εi | xi] = λ2. Show that the least squares slope is unbiased but that theintercept is biased