Question: Take themodel in vector notation Assume for simplicity that is known. Consider the OLS and GLS estimators b X 0X 1

Take themodel in vector notation Y = X+e EleX]=0 E[ee | X] =.

Assume for simplicity that § is known. Consider the OLS and GLS estimators b¯ Æ
¡
X 0X ¢¡1 ¡
X 0Y ¢
and e¯ Æ
¡
X 0§¡1X ¢¡1 ¡
X 0§¡1Y ¢
. Compute the (conditional) covariance between b¯ and e¯ : image text in transcribed

Y = X+e EleX]=0 E[ee | X] =.

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