System estimation of the two-way model: OLS versus GLS. (a) Perform OLS on the system of equations

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System estimation of the two-way model: OLS versus GLS.

(a) Perform OLS on the system of equations given in (3.22) and show that the resulting estimate is $\widehat{\beta}_{O L S}=\left(X\left(I_{N T}-\bar{J}_{N T}ight) Xight)^{-1} X^{\prime}\left(I_{N T}-\bar{J}_{N T}ight) y$.

(b) Perform GLS on this system of equations and show that $\widehat{\beta}_{G L S}$ reduces to the expression given by (3.23).

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Econometric Analysis Of Panel Data

ISBN: 9783030539528

6th Edition

Authors: Badi H Baltagi

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Question Posted: Mar 02, 2024 11:00 PM

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System estimation of the two-way model: OLS versus GLS. (a) Perform OLS on the system of equations

Question:

Qy QX Qu 02X B + 03x (3.22)

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Econometric Analysis Of Panel Data

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