I almost could say I'm trying to minimize a filtered residual vector.
2.
We may now move on and compute the next residual vector "'r "'1 using the formula
3.
One can understand Bessel's correction intuitively as the residuals vector ( residuals, not errors, because the population mean is unknown ):
4.
The remaining 3 " n " " 3 degrees of freedom are in the residual vector ( made up of " n " " 1 degrees of freedom within each of the populations ).
5.
The second residual vector is the least-squares projection onto the ( " n " " 1 )-dimensional orthogonal complement of this subspace, and has " n " " 1 degrees of freedom.
6.
The matrix \ Omega can be calculated from the variance of the error terms, u _ { it } for the one-step Arellano Bond estimator or using the residual vectors of the one-step Arellano Bond estimator for the two-step Arellano Bond estimator, which is consistent and asymptotically efficient in the presence of heteroskedasticity.
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