Prove that E[b' b] = ' + 2Kk=1(1/k) where b is the ordinary least squares estimator
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Prove that E[b' b] = β' β + σ2ΣKk=1(1/λk) where b is the ordinary least squares estimator and λk is a characteristic root of X' X.
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We write b 3 XX X so bb XXXXXX 23XX X The expected value of the last term is zero and the first is ...View the full answer
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