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Bobing-QIU / ARE212_Materials

Teaching materials for ARE212.
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PS1: 4. GLS #2

Open gschlauch opened 1 year ago

gschlauch commented 1 year ago

I think we interpreted this question differently. It looks like you specified T as the weighting matrix, which is what I initially thought as well. If you look at slide 14 in the Multiple Linear Equation Models lecture, it says that $$\beta = E(T'X)^{+}(T'y).$$ So for OLS, I think it should be T=X since the OLS formula for beta is (X'X)^{+}(X'y). Thus, T is random since X is random. (You wrote T is not random since it is a constant)

gschlauch commented 1 year ago

I'm not sure if we needed to include this, but we also mentioned that logit (via MLE) is not compatible with the model assumed for GLS.