Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
approach suggested in Greene (2018) and substitute y with Xβ + ϵ in equation (9) as follows: Substituting y with Xβ + ϵ (Image by Author) Let’s distribute out the terms inside the blue colored bracket on the R.H.S.: Distributing out the terms (Image by Author) Let’s recolor the two terms as