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For exam prep, we're supposed to answer this question (which we are supposed to be able to find the answer to in the course literature)

For the model specified in a) and proper normality assumptions on ε, obtain the distribution of ŷ and e = y − ŷ

where the model referred to in a) is the standard form of the multiple regression model

\begin{equation} \mathbf y = \mathbf X \pmb \beta + \pmb \epsilon \end{equation}

with all proper normality assumptions fulfilled. I've been trying to find the answer in the chapter covering multiple regression in Introduction to Linear Regression Analysis (which is our course literature) and online, but I can't seem to find the answer.

Could you point me in the right direction?

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  • $\begingroup$ Hi! Can't you ask the professor? $\endgroup$
    – Christian Johansson
    Mar 19, 2020 at 12:30
  • $\begingroup$ See this search $\endgroup$
    – whuber ♦
    Mar 19, 2020 at 12:33

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