Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
Subtracting E(ϵ|X) from ϵ yields the following: Mean centered error terms (Image by Author) Transposing this mean-centered column vector yields the following row vector: Transpose of the mean centered error terms (Image by Author) Next, let’s multiply (ϵ — E(ϵ|X))’ with (ϵ — E(ϵ|X)). Notice that (ϵ