Question: Consider the model y X= + b e where E ( ) = 0 and Var( ) = 2 V . Assume

Consider the model y X= + b e where E ( ε ) = 0 and Var( ε ) = σ

2 V . Assume that V is known but not σ

2

. Show that

( ′ − ′ ′ ( ) ′ ) ( ) − −− − − − yV y yV XXV X XV y 11 1 1 1 n p is an unbiased estimate of σ

2

.

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