Question

Find a simple expression, in terms of (some or all of) y, I, H and Hi, for the sample covariance (Hint: We can rewrite Cov v,9)-1 (y y)TG-v), where f is the column vector offitted values from y-Xp + E and, abusing notation slightly. У is the column vector in (a) above, i.e. the fitted values from the intercept-only model y- P .) Continue along the lines of the calculations in part (ii) to show that the sample correlation between y and can be written as SS reg 35T Corr(y) and hence R2 for the regression model y - XB+ e really is the squared correlation between y and : R" = Corr(v.9)2 .

Answer 1