Exercise 2.10.2 Consider the model Y = X +b+e, E (e) = 0, Cov (e) = 2I, where b is a known vector. Show that

Exercise 2.10.2 Consider the model Y = Xβ +b+e, E

(e) = 0, Cov

(e) =σ 2I, 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 ρXβ , say a0+aY, for which a0 = 0.

Hint: Modify ρMY.