In the frame of linear regression, how do I get the variance estimation using least squares as tool of building an estimator. I mean:
in the case I want to get the LS estimation of the beta's I know I have to minimize the sum of squares of the residuals. But what about the way to get to the variance which I know is:
Is this an LS estimator or just something we use cause it's natural.
I do this question cause in the case I build an Maximum Likelihood Estimator I know how to get the ML estimator of the variance. In the case of OLS it's like there with no proof provided.