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In the generalized regression model, suppose that Ω is known.
a. What is the covariance matrix of the OLS and GLS estimators of β?
b. What is the covariance matrix of the OLS residual vector e = y − Xb?
c. What is the covariance matrix of the GLS residual vector ε = y − Xβ?
d. What is the covariance matrix of the OLS and GLS residual vectors? |
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