Covariance Matrix, Regression Analysis, Standard Error, Confidence Interval, Hands On Tutorials.
variable that represents the coefficient’s estimate. Notation wise, SE(β_cap|X) = STDEV(β_cap|X) = SQRT(Var(β_cap|X)) Recollect that the diagonal elements of the variance-covariance matrix contain the variances of coefficients. Hence, the standard error for each coefficient can be calculated by