Question

Problem 6.5 Consider the usual multiple regression model. Let Γ-XTX and Γ1/2 its (sym met- ric) square root. (a) Show that Γ1/2(β-β) e RP+1 is normal and specify its mean and covariance. (b) Let u-(β-β)T(β-9). Find the distribution of uya. (c) Is u2 in the previous part independent of s? Hereel/(n-p-1) is our usual unbiased estimate of σ2 (d) Show that distributed where you specify the degrees of freedonm

Please show all work. Thank you in advance! :)

Answer 1

of een uom Uu

2 (n-P-リ p we knau