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For the model in the previous exercise, what is the probability limit of s2 = 1/n Σni=1 (yi − y)2? Note that s2 is the least squares estimator of the residual variance. It is also n times the conventional estimator of the variance of the OLS estimator, How does this equation compare with the true value you found in part b of Exercise 1? Does the conventional estimator produce the correct estimate of the true asymptotic variance of the least squares estimator? |
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