Consider the linear regression model y = XBo + u (1) where y is T x 1 with tth element yt, X is Tx k with tth row x, u is T x 1 with tth element ut, Bo is a k x 1 vector of unknown parameters. Assume that (1) is the true model for y, X is fixed in repeated samples, rank(X) k, E[u] = 0 and Var[u] = o²IT for some unknown scalar constant o. Let T = (X'X)−¹X'y that is, T is the Ordinary Least Squares (OLS) estimator of 30 based on (1). Let BT = Dy be an estimator of 30 based on (1) where D = (X'X)-¹X' + C and C is ak x T matrix of constants. =

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A: Regression analysis

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A: References Chambers, J. M., & Hastie, T. J. (2017). Statistical models. In Statistical models in…

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