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02.1.1. LS and BLUE Are Algebraically Identical—Solution

Published online by Cambridge University Press:  01 February 2003

Richard William Farebrother
Richard William Farebrother
Affiliation:
Shrewsbury, UK
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Extract

Let Z be an n × (n − q) matrix of rank n − q whose columns span the space orthogonal to the space spanned by the columns of X and let f = Z′y. Then, on premultiplying by the n × n nonsingular matrix [Z : X], we find that the conventional least squares problem.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 1 , February 2003 , pp. 226 - 227
Copyright
© 2003 Cambridge University Press

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Footnotes

Two excellent solutions were independently proposed by H. Neudecker and S. Puntanen, G. Styan, and H. Werner.