Write Down, in General, the Variance-Covariance Matrix for the Multiple $\sigma _ { \mathrm { u } } ^ { 2 }$

Essay

Write down, in general, the variance-covariance matrix for the multiple regression error term U. Using the assumptions cov(ui,uj|XiXj)= 0 and var(ui|Xi)= $\sigma _ { \mathrm { u } } ^ { 2 }$ Show that the variance-covariance matrix can be written as $\sigma _ { \mathrm { u } } ^ { 2 }$ I_n.