Question: Suppose that in the group wise heteroscedasticity model of Section 11.7.2, Xi is the same for all i. What is the generalized least squares estimator

Suppose that in the group wise heteroscedasticity model of Section 11.7.2, Xi is the same for all i. What is the generalized least squares estimator of β? How would you compute the estimator if it were necessary to estimate σ2i?

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