Question: (a) Using equation (7.5) of Chapter 7, verify that var(OLS) is that given in (9.5). (b) Show that var(OLS) var(GLS) = 2AA where A =

(a) Using equation (7.5) of Chapter 7, verify that var(βOLS) is that given in (9.5).

(b) Show that var(βOLS)− var(βGLS) = σ2AΩA where A = [(X



X)−1X

 − (X

Ω−1X)−1X

Ω−1].

Conclude that this difference in variances is positive semi-definite.

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