For the model in the previous exercise, what is the

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January 26th, 2022

Question
For the model in the previous exercise, what is the probability limit of s2 = 1/n Î£ni=1 (yi âˆ’ 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?

Question

For the model in the previous exercise, what is the probability limit of s2 = 1/n Î£ni=1 (yi âˆ’ 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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