Prove that E[b'b] = ' + 2 K k=1 (1/ k ) where b is
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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 XX 1 X so bb XXX 1 XX 1 X 2bXX 1 X The expected value of ...View the full answer
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