J 2

Consider the multiple regression model Y = XB + e. The Gauss Markov conditions hold and also e ~ N(0, o'I). In class, using the spectral decomposition method and a transformation on 3, we showed that (3-By'x'x(3-B) ~ 2 . Show the same result by finding the moment generating function of (8-B)x'x(3-B) using direct integration of the joint pdf of 3