Coefficient variance after stacking two copies of data
Question
In OLS with i.i.d. normal errors of variance , . If every observation is copied once (so the dataset is the original stacked on itself) and the regression is refit to give , what constant satisfies ? Enter if there is none.
Short answer
. Stacking the design on itself gives , so with the same error variance the formula yields half the variance. (The copies are not genuinely new information, which is why this formula overstates precision.)
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- Simple Linear Regression: OLS Estimators and Geometry
- Covariance and Correlation
- Multiple Linear Regression
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