Question

Suppose that your linear regression model includes a constant term, so that in the linear regression model

Y = Xβ + ε

The matrix of explanatory variables X can be partitioned as follows: X = [i X₁]. The OLS estimator of β can thus be partitioned accordingly into b’ = [b₀ b₁’], where b₀ is the OLS estimator of the constant term and b₁ is the OLS estimator of the slope coefficients.

a) Use partitioned regression to derive formulas for b₁ and b₀

b) Derive var (bb₁ | X)

c) What is var (b₀ | X)

Answer 1

first answer