Consider the simple linear regression model $y=beta_{0}+beta_{1} x+varepsilon$, with $E(varepsilon)=0$, $operatorname{Var}(varepsilon)=sigma^{2}$, and $varepsilon$ uncorrelated. a. Show that
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Consider the simple linear regression model $y=\beta_{0}+\beta_{1} x+\varepsilon$, with $E(\varepsilon)=0$, $\operatorname{Var}(\varepsilon)=\sigma^{2}$, and $\varepsilon$ uncorrelated.
a. Show that $\operatorname{Cov}\left(\hat{\beta}_{0}, \hat{\beta}_{1}\right)=-\bar{x} \sigma^{2} / S_{x x}$.
b. Show that $\operatorname{Cov}\left(\bar{y}, \hat{\beta}_{1}\right)=0$.
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Related Book For
Introduction To Linear Regression Analysis
ISBN: 9781119578727
6th Edition
Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining
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