Prove that in the model y1 = X11 + 1, y2 = X22 + 2, generalized least

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Prove that in the model y1 = X1β1 + ε1, y2 = X2β2 + ε2, generalized least squares is equivalent to equation-by-equation ordinary least squares if X1 = X2. Does your result hold if it is also known that β1 = β2?

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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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Question Posted: Nov 11, 2010 02:51 AM

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Prove that in the model y1 = X11 + 1, y2 = X22 + 2, generalized least

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The GLS estimator is oXX XXX 0X B 2XX 22XX 2Xy02X The matrix to be inverted equals E ...View the full answer

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