Questions 12

  1. Show that OLS estimator is unbiased even if explanatory variables are random. Write down the assumptions needed for this proof.
  2. What does it mean that the OLS estimator is consistent?
  3. (*) Prove that OLS estimator is consistent. What assumptions are needed for this proof?
  4. (*) Explain what it means that the OLS estimator has asymptotically normal distribution. How this property can be used to approximate the distribution of the estimator in small samples?
  5. When we are talking about endogeneity problem? What are the two most important causes of endogeneity problem? How the endogeneity problem does influence the properties of OLS?