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Linear regression proof question In a multiple linear regression analysis. (35:,in zzy-Li = 1. ...,,:n are statistically independent and satisfy the model (M1) given by:

Linear regression proof question

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In a multiple linear regression analysis. (35:,in zzy-Li = 1. ...,,:n are statistically independent and satisfy the model (M1) given by: 3" =50 +5111 +5232 +5: where the response variable y is continuous, the regressor vector X = (x1.xg)' has mean vector (pry, p)' and positive denite variance-covaria nce matrix 2; , the random errors at conditional on X; are statistically independent and normally distributed with mean zero and variance 02 which does not depend on X. a] Consider the case that the value of o'2 is known; that is, it is given. 1) Construct a statistical test for testing Ho: .81 = .62 = 0, using the known 0'2. and the ar-Ievel rejection region of the test. [5 points] 2) Construct a statistical test for testing Ho: 31 = .62, using the known 0'2, and the a- level rejection region of the test. [5 points]

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