Question: (a) For the predictor of yi,T+S given in (12.37), compute E(ui,T+Suit) for t = 1, 2, . . ., T and verify that w =

(a) For the predictor of yi,T+S given in (12.37), compute E(ui,T+Suit) for t = 1, 2, . . ., T and verify that w = E(ui,T+Su) = σ2

μ(i ⊗ ιT) where i is the i-th column of IN.

(b) Verify (12.39) by showing that (

i

⊗ ι

T )P = (

i

⊗ ι

T ).

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