Question: Under Assumptions 3.1 (Full Rank, p. 53), 6.1 (First Moments, p. 110), and 7.1 (Second Moments, p. 130), show that (a) Var[ - |

Under Assumptions 3.1

(Full Rank, p. 53), 6.1

(First Moments, p. 110), and 7.1

(Second Moments, p.

130), show that

(a) Var[ŷ - μ | X] = σ²(I - Px),

(b) Cov[β̂, ŷ - μ | X] = 0, and

(c) Var[β̂ | X] = σ²(X'X)⁻¹.

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