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Inferential Statisticshard
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Suppose a model Y=Xβ+ϵY = X\beta + \epsilonY=Xβ+ϵ exhibits heteroscedasticity, meaning Var(ϵ)=ΩVar(\epsilon) = \OmegaVar(ϵ)=Ω, where Ω\OmegaΩ is a known diagonal matrix with unequal entries. What is the most efficient estimator for β\betaβ?