Question: Consider the following two models where E ( ) = 0 and Var( ) = 2 I : Model A: y = X

Consider the following two models where E ( ε ) = 0 and Var( ε ) = σ2 I :

Model A: y = X 1 β 1 + ε

Model B: yX X = 11 22 ′b be + +

Show that R R A B 2 2 ≤ .

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