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Part BCSIR NET December 2025uncorrelated-estimators-means-the-off-diagonal-of-x-transpose-x-itself-vanishes

Uncorrelated estimators means the off diagonal of x transpose x itself vanishes

Consider the linear model Y1=β1+β2+ε1,Y2=β1+2β2+ε2,Y3=β1+cβ2+ε3Y_{1} = \beta_{1}+\beta_{2}+\varepsilon_{1}, Y_{2} = \beta_{1}+2\beta_{2}+\varepsilon_{2}, Y_{3} = \beta_{1}+c\beta_{2}+\varepsilon_{3}, where β1,β2R\beta_{1},\beta_{2} \in \mathbb{R} are unknown parameters, and the uncorrelated errors εi,i=1,2,3\varepsilon_{i}, i=1,2,3 have zero mean and finite variance σ2(>0)\sigma^{2}(>0). The constant c is such that β\betâ1_{1} and β\betâ2_{2} are uncorrelated, where β\betâ1_{1} and β\betâ2_{2} are the best linear unbiased estimators of β1\beta_{1} and β2\beta_{2}, respectively. Which of the following statements is the correct option for (Var(β(Var(\betâ1),Var(β_{1}), Var(\betâ2))_{2}))?

  1. A.(σ2/3,σ2/14)(\sigma^{2}/3, \sigma^{2}/14)
  2. B.(3σ2,14σ2)(3\sigma^{2}, 14\sigma^{2})
  3. C.(σ2/14,σ2/3)(\sigma^{2}/14, \sigma^{2}/3)
  4. D.(14σ2,3σ2)(14\sigma^{2}, 3\sigma^{2})

You have the answer. Trap Analysis is why the other three were written.

Not a worked solution repeated four times — the specific reasoning error each wrong option was built to reward.

See pricing

50 are analysed free — try those first.

Related counterexample: OLS is the BLUE in every linear model

More on this topic

The chapter behind this: Linear models, Gauss–Markov and ANOVA — free to read

From Linear Models and MultivariateGauss–Markov, regression, ANOVA basics

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