Hi,

I have an assignment with part of the question asking me to determine the OLS estimate of Beta given the conditions that

y = X\beta + u,   u ~  N(0, \sigma^2I)

where X is n x p non-stochastic and of rank p

I have to take the case p = 2 and the matrix X has the form where there are r 1's in the first column with the rest 0's and s 1's in the second column with the rest 0's and with n = r + s (i.e. each row has a 1 and 0 in it, with the 1 in the first column for the first r rows and in the second column for the last s rows).

This leaves the column vector \beta = (\beta_1, \beta_2). As I said I must determine the OLS estimate of \beta in this case. Help?