Suppose we have a linear model y X Assume that Ex 0 wher

Suppose we have a linear model y= X + . Assume that E(x\' ) = 0 (where x contains unity), Var(|x) = ^2, but E(|x) E(). Is it true that E(²) = ²?

~N(0,²) then the statement E(2) = ² is true, because V()=E(²)-[E()]²=²-0=².

$Suppose we have a linear model y= X + . Assume that E(x\' ) = 0 (where x contains unity), Var(|x) = 2, but E(|x) E(). Is it true that E(2) = 2?Solution~N(0,2) t$