What is the covariance matrix, Cov[, b], of the GLS estimator = (X' -1 X)
Question:
What is the covariance matrix, Cov[β̂, β̂ −b], of the GLS estimator β̂ = (X'Ω-1 X)−1 X'Ω−1 y and the difference between it and the OLS estimator, b = (X'X)−1X'y? The result plays a pivotal role in the development of specification tests in Hausman (1978).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 78% (14 reviews)
Write the two estimators as ...View the full answer
Answered By
Mishark muli
Having any assignments and any other research related work? worry less for I am ready to help you with any task. I am quality oriented and dedicated always to produce good and presentable work for the client once he/she entrusts me with their work. i guarantee also non plagiarized work and well researched work to give you straight As in all your units.Feel free to consult me for any help and you will never regret
4.70+
11+ Reviews
37+ Question Solved
Related Book For
Question Posted:
Students also viewed these Business questions
-
In the generalized regression model, suppose that is known. a. What is the covariance matrix of the OLS and GLS estimators of ? b. What is the covariance matrix of the OLS residual vector e = y Xb?...
-
What is covariance?
-
Assume that the yield curve for the data of Problem 3 is 10%. Further assume that the three bonds are of equal value and the only bonds existing. Set up a single-index representation of their...
-
Find a minimum spanning tree for the following graph using all 3 algorithms 13 17 22- 20 15, a. Adding the shortest edge first b. Deleting the longest edge first c. Growing a tree from the node D
-
Nellie hangs motionless by one hand from a clothesline. Which side of the line, a or b, has the greater tension? viliidi (b) (a)
-
Find an example of how an advertising campaign tries to enhance trust. What is the motivation of the firm? What principles do they use to enhance trust?
-
Discuss the legal and ethical issues involved in Roe v. Wade.
-
Mark each of the following statements as true or false and explain why the false statements are incorrect. a. Results benchmarking relies only on comparisons to firms within the same industry. b. SPC...
-
The density of a fluid changes with depth from the surface h according to the following formula: (h) = ch 2 , where c is a constant. A. What an expression for the gauge pressure p as a function of...
-
Imagine that you are a newly hired network consultant for SNHUEnergy Inc., a quickly growing oil and gas company that has decided to expand its operation and begin developing a more efficient...
-
Sixteen independent measurements were made of the resistance of a resistor. The average was 52.37 and the standard deviation was 0.12 . a. Estimate the resistance of this resistor, and find the...
-
The period T of a simple pendulum is given by T = 2L/g where L is the length of the pendulum and g is the acceleration due to gravity. Thus if L and T are measured, we can estimate g with g = 4 2 L/T...
-
Chandra was the sole shareholder of Pet Emporium that was originally formed as an S corporation. When Pet Emporium terminated its S election on August 31, 2016, Chandra had a stock basis and an...
-
c) Suppose that the data stream in a TCP connection consists of a file of 1000,000 bytes and the MSS is 1000 bytes. If the first byte of the data stream is numbered 0, i) how many segments are there...
-
Make a Harris-Todaro Model of the rural-urban migration sample problem solving and answer it with thorough solutions. You may use data that came from a reliable source/s. Just make sure that you...
-
Find a trade (amount of wine exchanged for amount cheese) that makes both countries better off in both goods relative to when no trade was allowed. What is the consumption point in each country with...
-
Assume market demand characterized by MPB(Q)=168-2Q (MPB=marginal private benefit, and is the same as the price in the demand function), and market supply characterized by MPC(Q)=12+2Q (MPC is the...
-
For the coding part of the midterm 2 you need to write down a Chomsky normal form context free grammar that will solve the balanced parentheses problem from homework 3 including the bonus part. For...
-
You are given the equation(s) used to solve a problem. For each of these, a. Write a realistic problem for which this is the correct equation(s). b. Finish the solution of the problem. (9.0 10...
-
1. Below is depicted a graph G constructed by joining two opposite vertices of C12. Some authors call this a "theta graph" because it resembles the Greek letter 0. a. What is the total degree of this...
-
Assume that the distribution of x is f (x) = 1/, 0 x . In random sampling from this distribution, prove that the sample maximum is a consistent estimator of . Note: You can prove that the maximum...
-
In random sampling from the exponential distribution f (x) = (1/)ex/, x 0, > 0, find the maximum likelihood estimator of and obtain the asymptotic distribution of this estimator.
-
Mixture distribution suppose that the joint distribution of the two random variables x and y is a. Find the maximum likelihood estimators of and and their asymptotic joint distribution. b. Find the...
-
What theorists are most likely to argue the city's form and growth come from decisions made by people and organizations that control wealth and other key resources?
-
Explain the difference between glucogenic and ketogenic amino acids
-
Describe what is an arrangement where workers who don't join a union must make payments equal to union dues and fees to get union representation services?
Study smarter with the SolutionInn App