In the generalized regression model, suppose that is known. a. What is the covariance matrix of
Question:
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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Write b XX 1 X and X 1 X 1 XW 1 e The covariance matrix is Eb E XX 1 X 1 XX 1 X 1 ...View the full answer
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