This implies that a1 i′0 0 a 0i0 0 1 aN 是∑=1(-x1t月) t(yNt-X'NtB) 1-1 y2 N-对B Let the fixed effect model be partitioned y=XB+Da+e show that the variance of B is Var(B)=0(XMp X-I Proof: B=(X'MDX-X'Mpy B+(X'MDX-XMDEThis implies that           αˆ1 αˆ2 . . . . αˆN           = 1 T           i 0 0 . . . 0 0 i 0 0 . . 0 . . . . . . . . . . . . . . . . . . . . . . . . 0 . . . 0 i 0                     y1 − X1βˆ y2 − X2βˆ . . . . yN − XNβˆ           =         1 T [ PT t=1(y1t − x 0 1tβˆ)] 1 T [ PT t=1(y2t − x 0 2tβˆ)]. . . . 1 T [ PT t=1(yNt − x 0 Ntβˆ)]         =           y¯1 − x¯ 0 1βˆ y¯2 − x¯ 0 2βˆ . . . . y¯N − x¯ 0 Nβˆ           . Exercise: Let the fixed effect model be partitioned as y = Xβˆ + Dαˆ + e, show that the variance of βˆ is V ar(βˆ) = σ 2 (X0MDX) −1 . Proof: βˆ = (X0MDX) −1X0MDy = β + (X0MDX) −1X0MDε, 6