- #1
MaxManus
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- 1
Homework Statement
Simple regression without a constant
Yi = Bxi + epsi for i = 1,2,...n
epsi are independent and N(0, sigma^2) distributed, B and sigma^2 are unknown.
All my sums are from i = 1 to n
The question is: Explain why:
[tex] \frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}} [/tex]
is t-distirbuted with n-1 degrees of freedom.
[tex] \hat{B} [/tex] is the least square estimator for B, and S^2 is the least square estiamtor for sigma^2
I'm not sure how to start solving the problem. My first idea was that this looket like a standard t-distribution for [tex] \hat{B} [/tex], but [tex] \sqrt{n} \neq \sqrt{\sum{x_i^2}} [/tex]