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Unformatted text preview: [ ] = I T = V which is of dimension 2 T 2 T and where is a 2 2 matrix with elements ij ( i, j = 1 , 2) . 1. Show that OLS on the giant regression (2) is the same as OLS on each equation in (1) taken separately. 2. Compare the estimated variance-covariance matrix of the coe cients computed from the giant regression (2) and from OLS on each equation in (1). Are they the same? 3. Is the OLS estimate of from the giant equation unbiased? 4. What is the (infeasible) GLS estimator of in the giant regression (2) ? Is b GLS unbiased? 5. Show that b GLS is numerically equivalent to b OLS when is a diagonal matrix . (Hint: write 1 = 1 11 1 22 and crank away.) 2...
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This note was uploaded on 08/23/2010 for the course ECON 583 taught by Professor Zivot during the Fall '09 term at W. Alabama.
- Fall '09