b. Consider the simple regression model y; = B, +B,X: + u i = 1,2,...,N You are told that the variance of each disturban

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B Consider The Simple Regression Model Y B B X U I 1 2 N You Are Told That The Variance Of Each Disturban 1 (62.62 KiB) Viewed 21 times

b. Consider the simple regression model y; = B, +B,X: + u i = 1,2,...,N You are told that the variance of each disturbance term ui conditional on the chosen values of the explanatory variables, is not some constant number, that is, Var(u;\x;) = 0. All the other assumptions on the stochastic disturbances terms are maintained. 1. What are the consequences of having heteroscedastic errors? 2. Derive the variance of the OLS estimator of ß, 3. Assume that you have the following information about the error structure. For each of the following cases, explain how you would revise the estimation technique to obtain estimates that are BLUE. Var(ui|x;) = 0} = oʻxi = Var(uz|x;) = 0} = 0%* =