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Let \\({\\hat \\alpha}\\) be the usual least squares estimator of \\(\\alpha\\). If \\(V_ i\\) is fixed than \\({\\hat \\alpha}\\) is admissible under squared error loss. However, if \\(V_ i\\) are random observations, independently distributed according to a multivariate normal distribution with mean \\(\\underset{\\tilde{}} 0\\) and known nonsingular covariance matrix \\(\\theta\\), then (it is shown that) \\({\\hat \\alpha}\\) is inadmissible, when \\(r\\geq 2\\). Several estimators dominating \\({\\hat \\sigma}\\) when \\(r\\geq 3\\) are given. Analogous results are given for the case when \\(\\theta\\) and \\(\\sigma^ 2\\) are unknown.    It is interesting to note that \\(\\{V_ i\\}\\) are ancillary statistics in the above setting. Hence the admissibility of \\({\\hat \\alpha}\\) depends on the distribution of the ancillary statistics. This fact constradicts the notion, widely held, that statistical inferences should be carried out, conditional on the value of any ancillary statistic. 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