* Problem 2;

* part (a);

proc reg data=invest;

ge:model ige = vge kge;

we:model iwe = vwe kwe;

data;

fc = finv(.95,17,17);

proc print;

* part (b);

data ge;

set invest;

i = ige;

v = vge;

k = kge;

sig2 = 777.45;

w = 1/sig2;

keep i v k w;

data we;

set invest;

i = iwe;

v = vwe;

k = kwe;

sig2 = 104.31;

w = 1/sig2;

keep i v k w;

data pool;

set ge we;

proc reg data=pool;

pool:model i = v k/acov;

proc reg data=pool;

gls:model i = v k;

weight w;

run;