Consider the linear regression model, y = Xβ + e, where as usual y and e are of dimension n × 1, X is n × k and β is k × 1. Additionally, the error term is correlated with the data such that E(e|X) = γ column vector not equal to zero. Let the corresponding OLS estimator be βˆ = ((X′X)^-1)(X′y). Assume conditionality on X.
I have solved all the other parts of the question. But I am not able to understand what does the below question mean and how I show the proof . Q. Does this regression model produces biased predictions of the outcome variable?