Answer by BenP for Deriving Distributions of Linear Regression
The only thing I can see is how you specify the distribution of $\hat{\epsilon}$. You wrote $\hat{\epsilon} \sim N(0, \sigma^2$) which would imply that in any sample the residuals $\hat{\epsilon}$ or...
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I am trying to learn how to derive the distributions of terms in Linear Regression Models (both theoretical model and observed model):For example here is a linear regression model:$$y = \beta_0 +...
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