Consider a regression model $Y_n=X_n\beta +\varepsilon$, where $X_n$ is a $n \times p_n$ matrix, and $\varepsilon=(\varepsilon_1,...,\varepsilon_n)'$ consists of independent and identically distributed variables with $E(\varepsilon_1)=0$ and $Var(\varepsilon_1)=\sigma^2$. Suppose that $\varepsilon_1 \sim N(0, \sigma^2)$ and suppose that $\hat \sigma ^2$ is the estimator of $\sigma^2$. Let
$$\hat \sigma ^2=\frac{\left\|Y_n-X_n\hat\beta\right\|^2}{n-p_n}.$$
Then, $\hat \sigma^2$ consistent for $\sigma^2$.
I can prove that $\hat \sigma^2$ is unbiased estimator for $\sigma^2$.
How can I continue to prove that $\hat \sigma^2$ consistent for $\sigma^2$?