Question: You estimate a least squares regression Yi X0 1i e1 eui and then regress the residuals on another set of regressors eui

You estimate a least squares regression Yi Æ X0 1i e¯1 Å eui and then regress the residuals on another set of regressors eui Æ X0 2i e¯2 Å eei Does this second regression give you the sameestimated coefficients as fromestimation of a least squares regression on both set of regressors?

Yi Æ X0 1i b¯1 ÅX0 2i b¯2 Å bei In other words, is it true that e¯2 Æ b¯2? Explain your reasoning.

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