Question: Let E[y|X] = X and Var[y|X] = . Show that (Hint: Use the approach in Exercise 8.8.) F[s|X]= [[(I - Px)] N-K

Let E[y|X] = Xβ₀ and Var[y|X] = Ω₀. Show that

F[s|X]= [[(I - Px)] N-K

(Hint: Use the approach in Exercise 8.8.)

F[s|X]= [[(I - Px)] N-K

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