$\newcommand{\R}{\mathbb R}\newcommand{\e}{\varepsilon}\newcommand{\0}{\mathbf 0}\newcommand{\E}{\operatorname{E}}\newcommand{\Var}{\operatorname{Var}}$Consider a linear regression model $y = X\beta+\e$ with $X\in\R^{n\times p}$ known and full column rank. Under common…