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Q59Section I (Objective (Q1–Q80))59 of 80

Invariance of estimable functions

Let λ′β\lambda'\beta be an estimable function of β\beta in the model Y=Xβ+ε\mathbf Y=X\beta+\varepsilon, where E(Y)=Xβ\mathbb{E}(\mathbf Y)=X\beta and XX is an n×pn\times p matrix of rank k<p≤nk<p\le n. Let β^\hat\beta be any solution to the normal equations X′Xβ^=X′YX'X\hat\beta=X'\mathbf Y and let r\mathbf r be any solution to X′Xr=λX'X\mathbf r=\lambda. Consider the following statements for the two estimators λ′β^\lambda'\hat\beta and rX′Y\mathbf rX'\mathbf Y:

I. λ′β^\lambda'\hat\beta is equal to r′X′Y\mathbf r'X'\mathbf Y for any β^\hat\beta or r\mathbf r.

II. λ′β^\lambda'\hat\beta and r′X′Y\mathbf r'X'\mathbf Y are invariant to the choice of any β^\hat\beta or r\mathbf r.

Which of the statements given above is/are correct?

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