Theorem+2-7-6

Theorem+2-7-6 - Dale J. Poirier Proof (New): This is...

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Lecture 6, ECON 220A, Fall 2011 Dale J. Poirier (2.7.5) (2.7.4) Theorem 2.7.6: Let measure the difference between E(Y * X) and the approximation a + X N b, where a is scalar and b is (K - 1) × 1. The values of a and b that minimize E(V 2 ) are again given by " and \$ in (2.7.4) and (2.7.5), i.e.,

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Lecture 6, ECON 220A, Fall 2011
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Unformatted text preview: Dale J. Poirier Proof (New): This is formally the same linear prediction problem as Theorem 2.7.2 except that W = E(Y|X) - ( " + X N \$ ) plays the role of U = Y- h(X), and E(Y|X) plays the role of Y. So the solution must be and...
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This note was uploaded on 12/13/2011 for the course ECON 220a taught by Professor Poirier,d during the Fall '08 term at UC Irvine.

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Theorem+2-7-6 - Dale J. Poirier Proof (New): This is...

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