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Oct 1, 2022 at 22:12 vote accept Luca Gi
Oct 1, 2022 at 22:12 answer added Luca Gi timeline score: 0
Oct 1, 2022 at 22:12 history edited Luca Gi CC BY-SA 4.0
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Sep 2, 2022 at 15:13 history edited kjetil b halvorsen
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Sep 2, 2022 at 9:00 history tweeted twitter.com/StackStats/status/1565625587032629255
Sep 1, 2022 at 21:23 history edited Luca Gi CC BY-SA 4.0
Provided an additional reasoning
Sep 1, 2022 at 20:45 history edited whuber
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Sep 1, 2022 at 20:19 comment added Luca Gi Yes, that's what I mean. Thanks.
Sep 1, 2022 at 20:17 comment added whuber It wouldn't make sense for $\theta$ to be a random variable. Would you mean that there is a lurking random Bernoulli$(\theta)$ variable independent of $e_t$ and that $y_t = kx_t\beta + e_t$ conditional on $U=1$ and otherwise $y_t = k_t\gamma + e_t$ when $U=0$?
Sep 1, 2022 at 19:14 comment added Luca Gi w.p. is standard notation for 'with probability,' it denotes a random variable. Not sure how the error term being the same is relevant, the error term is defined as the difference between $y_t$ and the conditional mean. Thanks.
Sep 1, 2022 at 17:49 comment added whuber What does "w.p." mean?? Are the apparent error terms "$e_t$" the same quantities in both cases or not?
Sep 1, 2022 at 17:28 history edited Luca Gi CC BY-SA 4.0
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Sep 1, 2022 at 16:23 history asked Luca Gi CC BY-SA 4.0