Question: Suppose the true model describing the relation between x and y is Where the i are independently generated from a N (0, 2 i) distribution.

Suppose the “true” model describing the relation between x and y is

Where the εi are independently generated from a N (0, σ2 i) distribution. Let Ʃ be a matrix with diagonal entries σ2 1, σ2 2. . . σ2 n . What is the covariance matrix for the ordinary least squares parameter estimators? How does this relate to the discussion of different estimators of the variance in Section 11.2.2?
(a) Population Counts and (b) Sample Sizes for Exercise 30.

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