HE321, FALL 2012, NTU

PROBLEM SET 3

FENG QU

1
1
1. Let i = and 0 = . I is the identity matrix. Show
1
(i) 0 0 = 0 , an idempotent matrix.

1
1
0
(ii) = , where = and = 1

(iv) ( )2 = 0

1
(iii) ( )( ) = M , where = and = 1 .

2. In the multiple regression model, = + , is the OLS estimator of . Prove that

[ ] = + 2 [( ) ].
3. A multiple regression of y on a constant, x1, and x2 produces the results below:
29 0
0
2
y = 4 + .4x1 + .9x2, R = 8/60, = 520, n = 29, = 0 50 10. Test the hypothesis
0 10 80
that the two slopes sum to 1. Write the null hypothesis in matrix form and calculate the F
statistic.

4. In the multiple regression model we can split

0
2

= 1 into two groups: = , = 0 and =

Thus, can be written as

= + = ( ) = + + = + +

where is of dimension 2 1 and is ( 1) 1. Their corresponding OLS estimators

are and . : 2, : ( 1). is the OLS residual vector. Pre-multiply the
equation by , where = ( ) ,

= + +

Show: = = and = , = .