1

Exercise 1

I need to show that: Cov (i j , k l ) =

4
4

if i=j=k=l
E(i )
4

i6= j and {i, j} = {k, l}

0
else
Since i = j = k = l, I can write Cov (2i , 2i ) = E (4i ) E (2i ) E (2i )
Now, by the hypothesis, I know that the variance of the errors is 2 and
E (i ) = 0 this is called the hypothesis of homocedasticity. Then, for a well
known formula V ar (i ) = E(2i ) (E(i ))2 I can get that E(2i ) = 2 .
Cov (2i , 2i ) = E (4i ) 4 .
Now, supposing that i 6= j and {i, j} = {k, l}, Using the definition of
covariance, I have:
Cov(i j , i j ) = E(2i 2j ) (E(i j ))2
but I know the next facts, the errors are not correlated and the expectancy
of each error is equal to zero by the assumption. Then I have: Cov(i j ) =
E(i j ) E(i )E(j ) = 0
In conclusion E(i j ) = 0.
Finally, I have that (E(i j ))2 = E(2i 2j ) = E(2i )E(2j ) = 2 2 = 4 Here, I
use the fat that E(XY ) = E(X)E(Y ) if X and Y are independent.
Finally, I can use the fact that if i 6= j 6= k 6= l then the errors are independent, and using the formula of covariance I have: Cov(i j , k l ) =
E(i j k l ) E(i j )E(k l ) = 0