Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
constant value σ². Non-correlated errors The error terms of the linear regression model are not correlated with each other. Thus, E(ϵ_i*ϵ_j)|X] = 0 when i not equal to j. This assumption causes all the expectation terms that are not along the main diagonal of the variance-covariance matrix of