伍德里奇计量经济学第三版教师手册APPENDIX E.docVIP

PAGE  PAGE 228 APPENDIX E SOLUTIONS TO PROBLEMS E.1 This follows directly from partitioned matrix multiplication in Appendix D. Write X = , X￠ = (), and y = Therefore, X￠X?= and X￠y?= . An equivalent expression for is ?= which, when we plug in yt?= xt??+ ut for each t and do some algebra, can be written as = ??+ . As shown in Section E.4, this expression is the basis for the asymptotic analysis of OLS using matrices. E.2 (i) Following the hint, we have SSR(b)?= (y?– Xb)￠(y?– Xb)?= [?+ X(?– b)]￠[ ?+ X(?– b)]?= ￠?+ ￠X(?– b)?+ (?– b)￠X￠?+ (?– b)￠X￠X(?– b). But