Suppose that you have a simple regression model of the form yt = _t + xt + "t, where "t is a Gaussian white noise, t indicates time and xt is a stationary time series. Show that the least squares...

Suppose that you have a simple regression model of the form yt =

_t + xt + "t, where "t is a Gaussian white noise, t indicates time and xt is

a stationary time series. Show that the least squares estimator of for this

model is exactly the same least squares estimator for model y_

t = x_t + _t,

where y_ t and x_t are the regression residuals of regression of yt and xt at time t.