The model y1 = 1x1 + 1, y2 = 2x2 + 2 satisfies all the assumptions of
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The model y1 = β1x1 + ε1, y2 = β2x2 + ε2 satisfies all the assumptions of the classical multivariate regression model. All variables have zero means. The following sample second-moment matrix is obtained from a sample of 20 observations:
a. Compute the FGLS estimates of β1 and β2.
b. Test the hypothesis that β1 = β2.
c. Compute the maximum likelihood estimates of the model parameters.
d. Use the likelihood ratio test to test the hypothesis in part b.
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f(x, y) = @e-(8+)y (By)* x! f(y|x) = f(x|y) = B,9>0, y ≥ 0, x = 0, 1, 2,.... Part (d) λe-^(^y)* x! Part (e) e-By (By).* x! y ≥ 0, λ > 0. x = 0, 1, 2, ..., ß> 0.
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Then the variances and covariance of the disturbances are yy bxyn 20 8420 84 S22 y2y2bx2y2n 106620 32 si S12 yy2b2x2y bxy bbxxn 6 63 83 86 220 246 We ...View the full answer
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