Question: Let Y be n 1, X be n k, and X XC where C is k k and full-rank. Let b be the

Let Y be n £1, X be n £k, and X ¤ Æ XC where C is k £k and full-rank. Let b¯ be the least squares estimator from the regression of Y on X , and let bV be the estimate of its asymptotic covariance matrix. Let b¯¤ and bV ¤ be those from the regression of Y on X ¤. Derive an expression for bV ¤ as a function of bV .

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