Question: Show that has a Students T distribution with [n - (k + 1)] degrees of freedom. - y T = sVI +a'(X'X)-'a

Show that

- y T = sVI +a'(X'X)-'a has a Student’s T distribution with [n - (k + 1)] degrees of freedom.

- y T = sVI +a'(X'X)-'a

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To show that the expression T has a Students T distribution with n k 1 degrees of freedom we need to establish that T follows the Tdistribution under ... View full answer

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