The least squares estimators of the regression model Y = X + are linear function of
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The least squares estimators of the regression model Y = Xβ + ε are linear function of the y-observations. When (X 0 X) −1 exists the least squares estimators of β is b = (X 0 X) −1Xy. Let A be a constant matrix. Using Var(Ay) = AVar(y)A 0 and Var(y) = σ 2 I to show that Var
(b) = σ 2 (X 0 X) −1 .
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Related Book For 
Linear Regression Analysis Theory And Computing
ISBN: 9789812834102
1st Edition
Authors: Xin Yan, Xiao Gang Su
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