For the two SUR equations given in (10.2). Let X1 = (X2,Xe), i.e., X2 is a subset of X1. Prove that (a) 2,SUR = 2,OLS.

For the two SUR equations given in (10.2). Let X1 = (X2,Xe), i.e., X2 is a subset of X1. Prove that

(a) β2,SUR = β2,OLS.

(b) β1,SUR = β1,OLS

− Ae2,OLS, where A = s12(X

1X1)−1X

1/s22. e2,OLS are the OLS residuals from the second equation, and the sij ’s are defined in (10.14).