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of the regression of the first residual on the second. Notice, however, that neither of

the coefficients of time in the separate trend analyses is an estimate of the /3 3 shift

parameter. 11

Multiple Regression Coefficients

Under the conditions shown in the next section, the normal equations solve for b =

(X'X)- 1X'y. The residuals from the LS regression may then be expressed as

e = y-Xb = y -X(X'X)- 1X'y =My (3.17)

1

where M =I - X(X'X)- X'

It is readily seen that Mis a symmetric, idempotent matrix. It also has the properties

that MX = 0 and Me = e. Now write the general regression in partitioned form as

In this partitioning x 2 is then x 1 vector of observations on X2 , with coefficient b2 ,

and X. is then X (k - 1) matrix of all the other variables (including the column of

ones) with coefficient vector b< 2>- 12 The normal equations for this setup are

We wish to solve for b2 and interpret the result in terms of a simple regression slope.

The solution is 13

where M. = / - x.(x:x.)- x: 1

Now by analogy with Eq. (3.17) it follows that

M.y is the vector of residuals when y is regressed on X.

and M.x2 is the vector of residuals when x 2 is regressed on X.

Regressing the first vector on the second gives a slope coefficient, which, using the

symmetry and idempotency of M., gives the b2 coefficient already defined in Eq.

(3.18). This general result has already been illustrated for the three-variable case.

A simpler and elegant way of proving the same result is as follows. Write the

partitioned regression as

12

Note that this is a different use of the star subscript than in an earlier section where it was used to

indicate data in deviation form.

13 See Appendix 3.2.

CHAPTER 3: The k- Variable Linear Equation 89

X's look alike, the more imprecise is the attempt to estimate their relative effects. This

situation is referred to as multicollinearity or collinearity. With perfect or exact collinear-

ity the standard errors go to infinity. Exact collinearity means that the columns of X are

linearly dependent, and so the LS vector cannot be estimated.

3.4.3 Estimation of u 2

which is unknown. It is reasonable to base an estimate on the residual sum of squares

from the fitted regression. Following Eq. (3.17), we write e = My = M(X/3 + u) =

Mu, since MX = 0.

Thus, E(e'e) = E(u'M'Mu) = E(u'Mu)

Utilizing the fact that the trace of a scalar is the scalar, we write

E(u'Mu) = E[tr(u'Mu)]

= E[tr(uu'M)]

= u 2 tr(M)

= a 2trl - a 2 tr[X(X'X)- 1X']

= a 2 trl - a 2 tr[(X'X)- 1(X'X)]

= a 2(n - k)

n-k

defines an unbiased estimator of a 2 The square root s is the standard deviation of

the Y values about the regression plane. It is often referred to as the standard error

of estimate or the standard error of the regression (SER).

This is the fundamental least-squares theorem. It states that, conditional on the as-

sumptions made, no other linear, unbiased estimator of the f3 coefficients can have

smaller sampling variances than those of the least-squares estimator, given in Eq.

(3.25). We prove a more general result relating to any linear combination of the f3

coefficients. Let c denote an arbitrary k-element vector of known constants, and de-

fine a scalar quantity , as

, = c'/J

If we choose c' = [0 1 0 0], then , /32. Thus, we can pick out any

single element in f3. If we choose

then , = E(Yn+i)

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