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1759统计中等derivationmedium

Averaging Two Noisy Measurements

题目

Again the structural model is Y=2X+uY=2X+u with E[uX]=0E[u\mid X]=0, but now you observe two noisy proxies: W1=X+η1,W2=X+η2,W_1=X+\eta_1, \qquad W_2=X+\eta_2, where η1,η2\eta_1,\eta_2 are independent of each other and of X,uX,u. Suppose Var(X)=4\operatorname{Var}(X)=4 and each noise term has variance 1.

If you regress YY on the average proxy Wˉ=(W1+W2)/2\bar W=(W_1+W_2)/2, what is the probability limit of the slope?

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