Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
is assumed to be zero, the diagonal elements containing E(ϵ_i*ϵ_i)|X] are actually the conditional variance of the error terms ϵ_i and the non-diagonal elements E(ϵ_i*ϵ_j)|X] are the conditional covariance of error terms ϵ_i and ϵ_j. We will now make two important assumptions: Homoskedastic errors