Question: Consider the multiple regression equation y = X???? + u Suppose that the independent variables are subjected to a linear transformation Z = XA where

Consider the multiple regression equation y = X???? + u Suppose that the independent variables are subjected to a linear transformation Z = XA where the matrix A is square and nonsingular. In the regression y = Z???? + ????

(a) What is the relationship between the OLS estimate ????̂ and the estimate ????̂ from the original equation?

(b) What is the relationship between the residuals ̂???? fromthe transformed equation, and ̂u from the original equation?

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