For the model in (5-25) and (5-26), prove that when only x* is measured with error, the

Question:

For the model in (5-25) and (5-26), prove that when only x* is measured with error, the squared correlation between y and x is less than that between y* and x*. (Note the assumption that y* = y.) Does the same hold true if y* is also measured with error?