Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
The error terms of the linear regression model are homoskedastic, i.e. they have constant conditional variance. Thus, E(ϵ_i*ϵ_j)|X] is some constant σ² when i = j. This assumption causes all the expectation terms along the main diagonal of the variance-covariance matrix of errors to have some