The expression for the restricted coefficient vector in (5-23) may be written in the form b =[I

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The expression for the restricted coefficient vector in (5-23) may be written in the form b∗ =[I − CR]b + w, where w does not involve b. What is C? Show that the covariance matrix of the restricted least squares estimator is

σ2(X'X)−1 − σ2(X'X)−1 R'[R(X'X)−1R']−1R(X'X)−1

and that this matrix may be written as

Var[b |X] {[Var(b |X)]−1 − R'[Var(Rb) |X]−1R} Var[b |X].

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Related Book For  answer-question

Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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