We are interested in a multivariate linear regression of $Y$ against $X_1$ and $X_2$. More specifically we want to know the regression coefficients of $X_1$. There is a sample drawn of size $n$, but we don't have $n$ observations of $X_1$ and $X_2$, instead we are given the following for each observation in the sample:
- The residual value of $X_1$, after having regressed $X_1$ against $X_2$
- The residual value of $X_2$, after having regressed $X_2$ against $X_1$
- $Y$
How do you proceed?
Thanks in advance.