Suppose that in the group wise heteroscedasticity model of Section 11.7.2, Xi is the same for all

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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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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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Question Posted: Nov 11, 2010 02:51 AM

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Suppose that in the group wise heteroscedasticity model of Section 11.7.2, Xi is the same for all

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If all of the regressor matrices are the same the e...View the full answer

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