A Deep Dive into the Variance-Covariance Matrices of Classical Linear Regression Models

The variance-covariance matrix of fitted coefficients (Image by Author)

A tutorial on how the variance-covariance matrices are constructed and when to be skeptical about the data they report

I am basing this article on a topic that I hope will be a joy to read for those of you who are mathematically inclined, and also for those of us who have wondered what standard errors are or where they come from.

As a quick refresher of concepts: the variance is …

confidence-interval covariance-matrix deep dive linear regression regression standard-error variance