Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
procedure for (ϵ — E(ϵ|X))’ (ϵ — E(ϵ|X)) (Image by Author) The third step in the above procedure is where we take the product of the two matrices shown in the second step. Here, we get an important insight: the summation in the final step is (n-k) times the the conditional variance of the random