Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
column vector of size (n x 1) and e’ is of size (1 x n), hence, e’e is of size (1 x 1) and can be considered a scalar for the purposes of computing s². Thus, we have arrived at the following unbiased estimate of the variance-covariance matrix of the coefficients of the fitted OLS regression model: