7. Suppose that you have two regression equations for two different countries: Yi = X,, +u; i = 1,2 where y, and u, are T x 1 and X, is T x K, with u; (0,0lt). If you combine these two regressions in one stacked model y = XB+u, where y and u are 27 x 1, X is 27 x (Ki+K2) and 3 is (K; +K2) 1. The stacked errors have the variance-covariance matrix 2 = 5 I with 2 = [0] i j = 1, 2. (20 pnts) Suppose all Xi's are the same, X = X2 = X". Show that applying GLS to the stacked regression will give the same results as applying OLS to each equation seperately. 7. Suppose that you have two regression equations for two different countries: Yi = X,, +u; i = 1,2 where y, and u, are T x 1 and X, is T x K, with u; (0,0lt). If you combine these two regressions in one stacked model y = XB+u, where y and u are 27 x 1, X is 27 x (Ki+K2) and 3 is (K; +K2) 1. The stacked errors have the variance-covariance matrix 2 = 5 I with 2 = [0] i j = 1, 2. (20 pnts) Suppose all Xi's are the same, X = X2 = X". Show that applying GLS to the stacked regression will give the same results as applying OLS to each equation seperately