Ex. 3.22

Ex. 3.22

Show that the solution in Ex. 3.21 does not change if \(\Sigma\) is estimated by the more natural quantity \((\bb{Y}-\bb{X}\hat{\bb{B}})^T(\bb{Y}-\bb{X}\hat{\bb{B}})/(N-pK)\).

Soln. 3.22

Note that in our solution for Ex. 3.21, we don't assume the form of \(\Sigma\) so the same arguments applies here.