Given a linear regression model obtained by ordinary least squares, prove that the sample covariance between the fitted values and the residuals is zero.

Tamara Bryan

Tamara Bryan

Answered question

2022-07-20

Given a linear regression model obtained by ordinary least squares, prove that the sample covariance between the fitted values and the residuals is zero.

Answer & Explanation

Jorge Franklin

Jorge Franklin

Beginner2022-07-21Added 11 answers

I assume that you meant their dot product is zero. If so, let y ^ = H y where H = X ( X X ) 1 X (from OLS). Also, note that H is idempotent, i.e. H 2 = H .. Then,
y ^ . e = y H ( I H ) y = y ( H H 2 ) y = y ( H H ) y = 0.

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