Question: Linear model theory and estimation with linear restrictions Problem 1 THEOREM 3.6 Let Rc = I, - W(WW)-'W', L = (X'X) 'X'Z, M= (Z'RZ) -1,

Linear model theory and estimation with linear restrictions

Problem 1

THEOREM 3.6 Let Rc = I, - W(WW)-'W', L = (X'X) 'X'Z, M= (Z'RZ) -1, and 8G = BG YG Then: (i) 7G = (Z'RZ)-1Z'RY.If BG = (Bej) and B = (3,), use Theorem 3.6(iv) to prove that var[BG,,] 2 var [Bj]

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