Suppose you have n observations on Y and X and estimate by Ordinary Least Squares (OLS) the coefficients and in the model Y = + X + , where is a

Suppose you have n observations on Y and X and estimate by Ordinary Least Squares (OLS) the coefficients α and β in the model Y = α + Xβ + , where is a random variable with finite variance, alpha is a scalar, beta a k x 1 vector of coefficients, and X a 1 x k vector of regressors