In the generalized regression model, suppose that is known. a. What is the covariance
Chapter 10, Problem 6(choose chapter or problem)
In the generalized regression model, suppose that is known. a. What is the covariance matrix of the OLS and GLS estimators of ? b. What is the covariance matrix of the OLS residual vector e = y Xb? c. What is the covariance matrix of the GLS residual vector = y X? d. What is the covariance matrix of the OLS and GLS residual vectors?
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