Prove that in the model y 1 = X 1 1 + 1 , y

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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: 978-0131395381

7th edition

Authors: William H. Greene

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Question Posted: Nov 16, 2018 04:50 AM

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Prove that in the model y 1 = X 1 1 + 1 , y

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The GLS estimator is The matrix to be inverted equals Therefor...View the full answer

Econometric Analysis

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