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S136-LE1-001
Statistics 135
Introduction to Regression Analysis
Sample First Long Exam

1.
2
a. If the regression equation is given by Yi o i X i i , i ~ N (0, )i . Derive the

least-squares estimator of o and i .

2
b. If the regression equation is given by Yi X i i , i ~ N (0, )i . Derive the least-

squares estimator of .

2. In the model, Yi o i , i = 1,2,,n

a. What is the least-squares estimator of o ?
b. What is the fitted or estimated value of Yi, i = 1,2,,n?
c. Will the sum of the residuals equals zero in this model? Support your answer.
3. Prove the Gauss-Markov Theorem.
4. Show that:
a. E(MSE) =

2
b. E(MSR) = +

' X 'C X
p 1

, where p = number of parameters

2
5. Given the model Y X , where ~ N (, ) , 0 . Solve for:

a. Least-squares estimator of .
b. E ( )
c. Var ( )

-END OF EXAM-