Exercise 6.9.10 Show that in Section 2, = and 0 = 0 (1/n)J n

Exercise 6.9.10 Show that in Section 2, γ∗ = β∗ and β0 = γ0 − (1/n)J n 1 Zγ∗.

Hint: Examine the corresponding argument given in Section 1 for simple linear regression.