Suppose that b is the least squares coefficient vector in the regression of y on X and

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Suppose that b is the least squares coefficient vector in the regression of y on X and that c is any other K × 1 vector. Prove that the difference in the two sums of squared residuals is

(y − Xc)' (y − Xc) − (y − Xb)' (y − Xb) = (c − b) X'X(c − b).

Prove that this difference is positive.

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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Question Posted: Nov 14, 2018 07:12 AM

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Suppose that b is the least squares coefficient vector in the regression of y on X and

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Write c as b c b Then the sum of squared residuals ...View the full answer

Econometric Analysis

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