Question: In the generalized regression model, suppose that is known. a. What is the covariance matrix of the OLS and GLS estimators of ? b.

In the generalized regression model, suppose that Ω is known.

a. What is the covariance matrix of the OLS and GLS estimators of β?

b. What is the covariance matrix of the OLS residual vector e = y − Xb?

c. What is the covariance matrix of the GLS residual vector ε̂ = y − Xβ̂?

d. What is the covariance matrix of the OLS and GLS residual vectors?

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