Let $E[y \,|\, X] = X_1 \beta_{01} + X_2 \beta_{02}$ and verify $X'X = \sigma_0^2 I$. Draw a geometric representation in two dimensions of an increase in the scale of $X_1$ and $X_2$ leading to a decrease in the sampling variances of $\hat{\beta}$.

the coefficients. Show that if $X_1$ and $X_2$ are not orthogonal, an increase in the scale of $X_1$ will decrease the sampling variance of the estimators of both the coefficients.