Question: Multiple regression: Y = X1 B1 + X2 2 + = X B + E When X1 and X2 are not correlated, The estimates of

Multiple regression: Y = X1 B1 + X2 2 + = X B + E

Multiple regression: Y = X1 B1 + X2 2 + = X B + E When X1 and X2 are not correlated, The estimates of B1, B2 are equal to those from two separate regression Y on X1 and Y on X2 Prove it Write XX separating X in the submatrices (blocks) X1 and X2: X = (X1|X2). Then see what happens when X1 X2 is zero

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