# Design matrices problem

• Sep 16th 2007, 02:04 PM
almostperfect10
Design matrices problem
I'm a bit rusty on my linear algebra and was given this problem in my advanced linear models class.

Consider the use of two design matrices X and Z for estimating a curve based on the two models y = Xb + e1 and y = Za + e2. Let H = X(X'X)^-1*X' denote the hat matrix for the first model. Recall that hat matrices are projection matrices. Consider the case of projecting the design matrix Z onto the column space of X using the transformation Zhat = HZ.

Let bhat = (X'X)^-1*X'y denote the least squares estimator of b in the first model. Let a2 denote the least squares estimator of a using the design matrix Zhat. Find an expression for a2 in terms of bhat.

Any help would be greatly appreciated!!
• Sep 16th 2007, 02:18 PM
almostperfect10
This is how I started:

a2 = (Zhat'*Zhat)^-1*Zhat'*y

= ((HZ)'(HZ))^-1*(HZ)'*y

= (Z'H'HZ)^-1*Z'H'y

= (Z'HZ)^-1*Z'Hy

= (Z'HZ)^-1*Z'Xb

= (Z'X(X'X)^-1*X'Z)^-1*Z'Xb

= (X'Z)^-1*(X'X)*(Z'X)^-1*Z'Xb

= (X'Z)^-1*(X'X)b

Can I simplify this further?

Thanks!!