→ yhliu :基本上 models (1) 與 (2) 相同, (3) 與 (4) 相同. 05/26 00:11
→ yhliu :從 hint 來看, 是要用垂直投影矩陣來做. 05/26 00:12
不知從何下手...
請好心的高手幫忙^_^
Consider the two regression models:
(1) y=β1*D1+β2*D2+β3*D3+β4*D4+ε
(2) y=β+β2*D2+β3*D3+β4*D4+ε
The variables are quarterly dummies. There are equal numbers of observations in
each quarter. yij is the observation on the dependent variable in year i,
quarter j.
(a) Obtain the LSE in each model.
(b) If there a term γx in the two equations, i.e.,
(3) y=β1*D1+β2*D2+β3*D3+β4*D4+γx+ε=Dβ+γx+ε
(4) y=β+β2*D2+β3*D3+β4*D4+γx+ε=D'β'+γx+ε
Prove that the LSEs of γ in (3) and (4) are identical. (Hint: Find the LSE of γ
by by the regression of MDy on MDx and MD'y on MD'x)
麻煩了 謝謝
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