Error component three-stage least squares. Verify that GLS on the stacked system (7.21) and (7.23) each premultiplied

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Error component three-stage least squares. Verify that GLS on the stacked system (7.21) and (7.23) each premultiplied by \(\left(I_{M} \otimes \widetilde{X}^{\prime}ight)\) and \(\left(I_{M} \otimes \bar{X}^{\prime}ight)\), respectively, yields the EC3SLS estimator of \(\delta\) given in (7.25) (see Baltagi (1981b)).

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