In the normal regression model let s2 be the unbiased estimator of the error variance 2 from (4.31). (a) Show that var s2

In the normal regression model let s2 be the unbiased estimator of the error variance ¾2 from (4.31).

(a) Show that var

£

s2¤

Æ 2¾4/(n ¡k).

(b) Show that var

£

s2¤

is strictly larger than the Cramér-Rao Lower Bound for ¾2.