ECOM023 Econometrics

Exercise Sheet 4
R.G. Pierse

Q1.

If x1 ; x2 ; : : : ; xT is a random sample from a population distributed as

N ( ; 2)
2
(a) Find the ML estimators of and .

(b) Evaluate " #

@ 2 log L @ 2 log L
@ 2 @ @ 2
E @ 2 log L @ 2 log L
@ 2@ @( 2 )2

(c) and hence show that the ML estimator of is the best unbiased
estimator.