Question: Consider the multiple regression case with orthogonal regressors across the two equations, i.e., X 1X2 = 0. Verify that R2 q = R2 q ,

Consider the multiple regression case with orthogonal regressors across the two equations, i.e., X

1X2 = 0. Verify that R2 q = R∗2 q , where R2 q and R∗2 q are defined below (10.20) and (10.21), respectively.

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