Exercise 2.11.2 Consider the model Y = X + Xb + e, E (e) = 0, Cov

Exercise 2.11.2 Consider the model Y = Xβ + Xb +

e, E

(e) = 0, Cov

(e) = σ2 I, where b is a known vector and Xb is often called an offset. Show that Proposition 2.1.3 is not valid for this model by producing a linear unbiased estimate of ρ

Xβ, say a0 + aY , for which a0 = 0.

Hint: Modify ρ

MY.