\sigma^2 is the variance of the error term (or equivalently the variance of the stochastic component in the alternate formulation) that we have to estimate along with the \beta&#39;s  We call it an ancillary parameter because it does not vary over i and it is not of primary interest.  We however do have to estimate it in order to estimate our standard errors.<div>
<br></div><div>Brandon<br><br><div class="gmail_quote">On Mon, Jan 31, 2011 at 4:40 PM, Mabel Lana Botelho Abraham <span dir="ltr">&lt;<a href="mailto:mlba@mit.edu">mlba@mit.edu</a>&gt;</span> wrote:<br><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex;">





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<div>Hi,</div>
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<div><font size="2" face="tahoma">I am working on the HW and I am unclear about 2.1. What do you mean by sigma-squared ancillary parameter? Is this the variance or the intercept? Also, should we be generating data for this probem?</font></div>

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<div><font size="2" face="tahoma">Mabel</font></div>
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<font color="#000000" size="2" face="Tahoma"><b>From:</b> <a href="mailto:gov2001-l-bounces@lists.fas.harvard.edu" target="_blank">gov2001-l-bounces@lists.fas.harvard.edu</a> [<a href="mailto:gov2001-l-bounces@lists.fas.harvard.edu" target="_blank">gov2001-l-bounces@lists.fas.harvard.edu</a>] On Behalf Of Molly Roberts [<a href="mailto:molly.e.roberts@gmail.com" target="_blank">molly.e.roberts@gmail.com</a>]<br>

<b>Sent:</b> Sunday, January 30, 2011 11:05 AM<br>
<b>To:</b> Class List for Gov 2001/E-2001<br>
<b>Subject:</b> [gov2001] lecture quiz<br>
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<div>Hi everyone --<br>
<br>
We noticed a few of you have not filled out the lecture quiz on the course website.  Although it is past the 8AM deadline, we still are interested in understanding the points in the lecture you were confused about. If you haven&#39;t filled out the lecture quiz,
 please do so as soon as possible!  <br>
<br>
Best,<br>
Molly<br>
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