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(Requires Calculus) for the Simple Linear Regression Model of Chapter Yi=β0+β1Xi+uiY _ { i } = \beta _ { 0 } + \beta _ { 1 } X _ { i } + u _ { i }

Question 51

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(Requires Calculus) For the simple linear regression model of Chapter 4 , Yi=β0+β1Xi+uiY _ { i } = \beta _ { 0 } + \beta _ { 1 } X _ { i } + u _ { i } the OLS estimator for the intercept was β0^=Yˉβ1^Xˉ\widehat { \beta _ { 0 } } = \bar { Y } - \widehat { \beta _ { 1 } } \bar { X } and
β^1=i=1nXiYinXˉYˉi=1nXi2nXˉ2\widehat { \beta } _ { 1 } = \frac { \sum _ { i = 1 } ^ { n } X _ { i } Y _ { i } - n \bar { X } \bar { Y } } { \sum _ { i = 1 } ^ { n } X _ { i } ^ { 2 } - n \bar { X } ^ { 2 } } . Intuitively, the OLS estimators for the regression model
Yi=β0+β1X1i+β2X2i+ui might be β0^=Yˉβ^1Xˉ1β^2Xˉ2,β^1=i=1nX1iYinXˉ1Yˉi=1nX1i2nXˉ12Y _ { i } = \beta _ { 0 } + \beta _ { 1 } X _ { 1 i } + \beta _ { 2 } X _ { 2 i } + u _ { i } \text { might be } \widehat { \beta _ { 0 } } = \bar { Y } - \widehat { \beta } _ { 1 } \bar { X } _ { 1 } - \widehat { \beta } _ { 2 } \bar { X } _ { 2 } , \widehat { \beta } _ { 1 } = \frac { \sum _ { i = 1 } ^ { n } X _ { 1 i } Y _ { i } - n \bar { X } _ { 1 } \bar { Y } } { \sum _ { i = 1 } ^ { n } X _ { 1 i } ^ { 2 } - n \bar { X } _ { 1 } ^ { 2 } } and β2^=i=1nX2iYinXˉ2Yˉi=1nX2i2nXˉ22\widehat { \beta _ { 2 } } = \frac { \sum _ { i = 1 } ^ { n } X _ { 2 i } Y _ { i } - n \bar { X } _ { 2 } \bar { Y } } { \sum _ { i = 1 } ^ { n } X _ { 2 i } ^ { 2 } - n \bar { X } _ { 2 } { } ^ { 2 } }
By minimizing the prediction mistakes of the regression model with two explanatory variables, show that this cannot be the case.

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