Suppose Y = X + where (i) X is fixed not random, n p of rank
Question:
Suppose Y = Xβ + where
(i) X is fixed not random, n× p of rank p, and
(ii) the i are IID with mean 0 and variance σ2, but
(iii) the i need not be normal.
Let βˆ = (X X)−1X Y . True or false and explain:
(a) E(β)ˆ = β.
(b) cov(β)ˆ = σ2(X X)−1.
(c) If n = 100 and p = 6, it is probably OK to use the t-test.
(d) If n = 100 and p = 96, it is probably OK to use the t-test.
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