The expression for the restricted coefficient vector in (6-14) may be written in the

Chapter 6, Problem 4

(choose chapter or problem)

The expression for the restricted coefficient vector in (6-14) may be written in the form b = [I CR]b + w, where w does not involve b. What is C? Show that the covariance matrix of the restricted least squares estimator is 2 (X X) 1 2 (X X) 1 R [R(X X) 1 R ] 1 R(X X) 1 and that this matrix may be written as Var[b | X] [Var(b | X)] 1 R [Var(Rb)| X] 1 R Var[b | X].