- Econometric Theory And Methods Russell Davidson And James G Mackinnon 1 (62.45 KiB) Viewed 12 times
Econometric Theory and Methods (Russell Davidson and James G. MacKinnon)
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Econometric Theory and Methods (Russell Davidson and James G. MacKinnon)
Econometric Theory and Methods (Russell Davidson andJames G. MacKinnon)
2.16 Consider the linear regression y =B₁ + X₂ B 2 + u₂ where is an n-vector of 1s, and X₂ is an n × (k − 1) matrix of observations on the remaining regressors. Show, using the FWL Theorem, that the OLS estimators of 3₁ and 32 can be written as -[ATLA] X2 M₁ X2. where, as usual, M, is the matrix that takes deviations from the sample mean. =
2.16 Consider the linear regression y =B₁ + X₂ B 2 + u₂ where is an n-vector of 1s, and X₂ is an n × (k − 1) matrix of observations on the remaining regressors. Show, using the FWL Theorem, that the OLS estimators of 3₁ and 32 can be written as -[ATLA] X2 M₁ X2. where, as usual, M, is the matrix that takes deviations from the sample mean. =