by Dan | Feb 3, 2021 | Statistics
Consider the regression model Y = Xβ + ε. Assume X is stochastic and ε is such that E(X′ε) ̸= 0. However, there is a matrix of variables Z such that E(Z′ε) = 0 and E(Z′X) ̸= 0. The dimension of the matrix X is T ×k (T is the number of observations and k is the number...
