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Multiple Linear Regression We consider the misspecification problem in multiple linear regression. Suppose that the following...

Multiple Linear Regression

We consider the misspecification problem in multiple linear regression. Suppose that the following model is adopted y = X1β1 + ε while the true model is y = X1β1 + X2β2 + ε. For both models, we assume E(ε) = 0 and V (ε) = σ^2I. Figure out conditions under which the least squares estimate we obtained is unbiased.

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