# A hideous Linear Regression/confidence set question

by Phillips101
Tags: hideous, linear
 HW Helper P: 1,361 Notice that $$\frac{\hat{\beta}' X'X \hat{\beta}}{\sigma^2}$$ has a $$\Chi^2$$ distribution. however, the variance is unknown, so you need to estimate it (with another expression from the regression). What would you use for the estimate, and what is its distribution?