Suppose that the regression model is y = + , where has a zero mean, constant variance, and equal correlation, , across observations.

Suppose that the regression model is y = μ + ε, where ε has a zero mean, constant variance, and equal correlation, ρ, across observations. Then Cov[ε_i, ε_j] = σ²ρ if i = j. Prove that the least squares estimator of μ is inconsistent. Find the characteristic roots of  and show that Condition 2 after Theorem 9.2 is violated.