Prove that in the model y 1 = X 1 1 + 1 , y
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Prove that in the model
y1 = X1β1 + ε1,
y2 = X2β2 + ε2,
generalized least squares is equivalent to equation-by-equation ordinary least squares if X1 = X2. Does your result hold if it is also known that β1 = β2?
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The GLS estimator is The matrix to be inverted equals Therefor...View the full answer
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