I need to find distribution of $U=(Y-X_1\hat{\beta_1})^T(Y-X_1\hat{\beta_1})$.
Suppose a linear model $Y= X\beta +\varepsilon$ where $\varepsilon \sim N(0,\sigma ^2I)$. Write $X=[X_1;X_2]$ where $X_1$ are the first $p_1$ columns of $X$ nad $X_2$ are the last $p_2$ columns. Similary split $\beta ^T =(\beta_1^T; \beta_2^T)$.
I computed:
$\operatorname E(Y - X_1\hat{\beta_1}) = X\beta - X_1\beta _1$
$\operatorname{var}(Y - X_1\hat{\beta_1}) = \sigma ^2(I-H_1)$
where $(I-H_1)$ is idemotent matrix. Then I computed $(I-H_1)(X\beta - X_1\beta _1) =0$
Here I stopped and I do not know what I need to do next.
Thank you for any help.