In simple linear regression, the model is \begin{equation} Y_i = \beta_0 + \beta_1 X_i + \varepsilon_i \end{equation} where $\varepsilon_i$ are i.i.d., and \begin{equation} \varepsilon_i \sim N(0, \sigma^2) \end{equation} Suppose $b_0$ and $b_1$ are estimators of $\beta_0$ and $\beta_1$, respectively. Then we can have \begin{equation} \hat{Y_i} = b_0 + b_1X_i \end{equation} Define SSE as \begin{equation} SSE = \sum_{i=1}^{n}(Y_i - \hat{Y_i})^2 \end{equation} How to prove $\frac{SSE}{\sigma^2} \sim \chi^2(n-2)$

NOTE: Though several similar questions before, but actually these answers didn't match with the question. They used some matrix formats and involved some matrix-related knowledge rather than really working on this simplest case. Here, only one independent variable $X$, please do not use matrix format. Thanks!

  • $\begingroup$ Here is a proof without matrix algebra: stats.stackexchange.com/questions/362590/…. $\endgroup$ Nov 29, 2019 at 10:53
  • $\begingroup$ @StubbornAtom Thank you for help. I have noticed that thread before but I don't think that answer is clear enough which actually has been pointed out in the comment area of that question. How could you give out the methods of building Z? The logic is not very clear. $\endgroup$
    – Jie
    Nov 29, 2019 at 12:20
  • $\begingroup$ It is a simple argument with the key being an orthogonal change of variables. Quite standard if you are familiar with finding distributions of functions of a given random variable using a transformation. The rest is plain algebra. $\endgroup$ Nov 29, 2019 at 13:39
  • $\begingroup$ @StubbornAtom I mean why you did the transformation in that way. Maybe it will be much more clear if you can point it out. Thank you! $\endgroup$
    – Jie
    Nov 30, 2019 at 1:06
  • $\begingroup$ There are important properties of an orthogonal transformation, like it preserves normality of the original variables and the sum of squares of the transformed variables is the same as that of the original variables. The first two rows of the orthogonal matrix are chosen in a way that would give the distribution of $\hat\beta_0$ and $\hat\beta_1$ from the transformed variables, the remaining rows (which we do not need to know exactly) would give the distribution of the SSE. $\endgroup$ Nov 30, 2019 at 6:56

1 Answer 1


The chi-square distribution can be deduced using a bit of algebra, and then some distribution theory.

Algebra: Using the overbar to denote sample mean, we have $\bar Y=\beta_0 +\beta_1\bar X+\bar\varepsilon$ so that $$Y_i-\bar Y = \beta_1(X_i-\bar X) + (\varepsilon_i-\bar\varepsilon).\tag1$$ The least squares estimators of $\beta_0$ and $\beta_1$ are, respectively, $$ \hat{\beta_0}=\bar Y -\hat{\beta_1}\bar X \qquad{\text {and}}\qquad \hat{\beta_1}=\frac{\sum(X_i-\bar X)(Y_i-\bar Y)}{\operatorname{SSX}},\tag2 $$ where $\operatorname{SSX}:=\sum(X_i-\bar X)^2$. Plug $\hat{\beta_0}$ into $\hat Y_i:=\hat{\beta_0}+\hat{\beta_1}X_i$ to obtain $$ Y_i-\hat {Y_i} = (\varepsilon_i-\bar\varepsilon) - (\hat{\beta_1}-\beta_1)(X_i-\bar X).\tag3 $$ Square both sides of (3) and sum over $i$. This yields [see (*) below] $$ \operatorname{SSE}:=\sum(Y_i-\hat {Y_i})^2=\sum(\varepsilon_i-\bar\varepsilon)^2 - (\hat{\beta_1}-\beta_1)^2\sum(X_i-\bar X)^2.\tag4 $$

Writing $\sum(\varepsilon_i-\bar\varepsilon)^2=\sum\varepsilon_i^2-n\bar\varepsilon^2$, divide (4) through by $\sigma^2$ and rearrange to the form

$$ \sum\left[\frac{\varepsilon_i}\sigma\right]^2=\frac{\operatorname{SSE}}{\sigma^2} + \left[\frac{\bar\varepsilon}{\sigma/\sqrt n}\right]^2 + \left[\frac{\hat{\beta_1}-\beta_1}{\sigma/\sqrt{\operatorname{SSX}}}\right]^2.\tag5 $$ Distribution theory: It is easy to check that each of the bracketed items in (5) has a standard normal distribution. What is not so obvious, and this is the step that requires matrix algebra to prove, is that the three terms on the RHS of (5) are mutually independent. Since the LHS of (5) is the sum of squares of $n$ independent standard normal variables, it follows that $\operatorname{SSE}/\sigma^2$ must have the distribution of the sum of squares of $n-2$ independent standard normal variables -- this is the chi-square($n-2$) distribution.

(*) What happened to the cross term? After squaring the RHS of (3) and summing over $i$ the cross term is $-2(\hat{\beta_1}-\beta_1)\sum(X_i-\bar X)(\varepsilon_i-\bar\varepsilon)$, which equals $-2(\hat{\beta_1}-\beta_1)^2\sum(X_i-\bar X)^2. $ This follows from the calculation $$ \begin{align} \hat{\beta_1}\sum(X_i-\bar X)^2\stackrel{(2)}=\sum(X_i-\bar X)(Y_i-\bar Y)&=\sum(X_i-\bar X)[\beta_1(X_i-\bar X)+(\varepsilon_i-\bar\varepsilon)]\\&=\beta_1\sum(X_i-\bar X)^2 +\sum(X_i-\bar X)(\varepsilon_i-\bar\varepsilon). \end{align}$$


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