Abstract: | For the usual full rank univariate least squares regression model y = XB + e, E(e) = 0, E(ee) = A, the equality of the estimates occurs when B-B* = (XA?1X)?1XA-1y-(XX)?1Xy = 0. A necessary and sufficient condition for this equality is that A has some N - k + 1 roots equal where N is the rank of A and k is the rank of X. |