1. Consider the model: for i=1,..., n, t= 1,...,T and sampling is i.i.d. over i, Vit = 30 +31it-1 +0₁₁+0₂²₁ +4₂ + the c)

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1 Consider The Model For I 1 N T 1 T And Sampling Is I I D Over I Vit 30 31it 1 0 0 4 The C 1 (33.26 KiB) Viewed 25 times

1. Consider the model: for i=1,..., n, t= 1,...,T and sampling is i.i.d. over i, Vit = 30 +31it-1 +0₁₁+0₂²₁ +4₂ + the c) = 0 and = (-1.it.). Consider asymptotics holding T finite where E(uala, but considering n→ ∞o. (a) How will you estimate 31 consistently? Briefly explain the procedure in a line or two lines. (b) What is the asymptotic variance of the estimator of 3, you described in (a)? (c) Which of the above parameters can be estimated consistently with the method you described in (a) under the stated assumptions. Please be specific about additional assumptions you need to place if you think you need to make them. (d) Explain why the fixed effect estimator is inconsistent in this case. (e) Under E(uit, -1,C) = 0, show that E(u-1-2) = 0. Discuss how you can test this implication.