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Consider the linear model given by y = Bo+Bx + Bz + , where y, x, z and e are column vectors of size
Consider the linear model given by y = Bo+Bx + Bz + , where y, x, z and e are column vectors of size n. Show that the least square estimator, 32, of B2, can be obtained using the following procedure: Fit the model y = 0 + 1x + e, and obtain the residual vector . Fit the model z = 0 + x + , and obtain the residual vector . Fit the model = 0 + \ + and obtain the least square estimate for \, denoted by . Let = .
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