Question: Consider the model Y=X(J+b+e, E (e) = 0, Cov (e) = a 2 J, where b is a known vector. Show that Proposition 2.1.3 is

Consider the model Y=X(J+b+e, E

(e) = 0, Cov

(e) = a 2 J, where b is a known vector. Show that Proposition 2.1.3 is not valid for this model by producing a linear unbiased estimate of p' X(J, say ao + a'Y, for which ao ¥- O.

Hint: Modify p' MY.

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