Show transcribed image text Consider the equation y,=α+8+Bxi,+ +Bx11+1,, where the errors are assumed to be sequentially exogenous. a. Prove that the differenced equation, Av=0+BAYvt. +AArkt+All, will not produce consistent estimators. b. Briefly explain what additional assumption will ensure consistent estimators.
Consider the equation y,=α+8+Bxi,+ +Bx11+1,, where the errors are assumed to be sequentially exogenous. a. Prove that the differenced equation, Av=0+BAYvt. +AArkt+All, will not produce consistent estimators. b. Briefly explain what additional assumption will ensure consistent estimators.
