Question: (OLS versus GLS) Let E[$textbf{y}$|$textbf{X}$] = $textbf{X}beta_0$. If the dependent data are conditionally equicorrelated. Show that if a constant is one of the explanatory variables

(OLS versus GLS) Let E[$\textbf{y}$|$\textbf{X}$] = $\textbf{X}\beta_0$. If

the dependent data are conditionally equicorrelated. Show that if a constant is one of the explanatory variables then OLS and GLS are identical estimators. (Hint: Use Lemma 19.1.) Extend this equivalence to estimation of the random-effects model (24.9)--(24.11), normalizing $$\alpha_i = 0$$.

Varly | X]=1+

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Econometric Analysis Questions!

A sample of 200 Chicago households was taken to investigate how far American households tend to travel when they take a vacation. Consider the model MILES is miles driven per year, INCOME is measured...

In Example 8.9 we estimated the linear probability model where $C O K E=1$ if a shopper purchased Coke and $C O K E=0$ if a shopper purchased Pepsi. The variable PRATIO was the relative price...

What physical property determines which solvent sinks to the bottom when performing a liquid-liquid extraction? A. Refractive Index B. Solubility C. Density D. Boiling Point

Oxygen is consumed in body tissues or by cells in vitro at a rate that is nearly independent of the O concentration. As a model for either a small tissue region without blood vessels or a spher-...

Which one of the following could cause the total return on an investment to be a negative rate? Multiple Choice Stock price that remains constant ower the irvestment period Stock price that declines...

V = 1.0L, W = 0.9 L, = 5.0 mmol/L, c0 = 9.0 mmol/L (as in Exercise 15). Compute the equilibrium of the lungs discrete-time dynamical system and check that c* = .