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In the Case When the Errors Are Homoskedastic and Normally β^\hat \beta

Question 1

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In the case when the errors are homoskedastic and normally distributed, conditional on X, then


A) β^\hat \beta is distributed N(?, ∑β^∣X\sum _ { \hat { \beta } \mid X } ) ,where ∑β^∣X\sum _ { \hat { \beta } \mid X } = σu2\sigma _ { u } ^ { 2 } I(k+1) .
B) β^\hat \beta is distributed N(?, ∑β^\sum _ { \hat { \beta } } ) , where ∑β^\sum _ { \hat { \beta } } = ∑n(β^−β) \sum _ { \sqrt { n } \left( \hat { \boldsymbol { \beta } } _ { - } \boldsymbol { \beta } \right) } /n = QX−1Q _ { X } ^ { - 1 } ∑V\sum _ { V } QX−1Q _ { X } ^ { - 1 } /n.
C) β^\hat \beta is distributed N(?, ∑β^∣X\sum _ { \hat { \beta } \mid X } ) ,where ∑β^∣X\sum _ { \hat { \beta } \mid X } = σu2\sigma _ { u } ^ { 2 } ( X′X ^ { \prime } X) -1.
D) u^\hat { u } = PXY where PX = X( X′X ^ { \prime } X) -1 X′X ^ { \prime }

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