Question: Consider the general linear regression model y = X + and the least squares estimate b = (X 0 X) 1X 0 y. Show

Consider the general linear regression model y = Xβ + ε and the least squares estimate b = (X 0 X) −1X 0 y. Show that b = β + Rε, where R = (X 0 X) −1X 0 .

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