Question: Exercise 11.2 Prove Theorem 11.1.1. Hint: For (i), use Theorem 1.3.6. For (ii), show that Cov[(I M)Y, MY] = 0.

Exercise 11.2 Prove Theorem 11.1.1.

Hint: For (i), use Theorem 1.3.6. For (ii), show that Cov[(I − M)Y, MY] = 0.

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