Lecture 4 - Econometrics Lecture 4 The CLR model with...

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Econometrics 1 Lecture 4: The CLR model with normally distributed errors CLR model with normal errors We consider the CLR model ε β + = X y with the additional assumption ) , 0 ( ~ 2 I N σ ε i.e. the n -vector of random errors ε has a multivariate normal distribution with mean 0 and variance matrix I 2 σ .
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