Prove that E b ' b ' 2Kk 1(1 k) where b is the ordinary least squares estimator and k is a characteristic root of X ' X ...

We write b 3 XX X so bb XXXXXX 23XX X The expected value of the last term is zero and the first is ...

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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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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Question Posted: Nov 11, 2010 02:51 AM

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Prove that E[b' b] = ' + 2Kk=1(1/k) where b is the ordinary least squares estimator

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