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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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