Consider a correctly specified regression model with $p$ terms, including the intercept. Make the usual assumptions about

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Consider a correctly specified regression model with $p$ terms, including the intercept. Make the usual assumptions about $\varepsilon$. Prove that

\[\sum_{i=1}^{n} \operatorname{Var}\left(\hat{y}_{i}\right)=p \sigma^{2}\]

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Introduction To Linear Regression Analysis

ISBN: 9781119578727

6th Edition

Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining

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