Question

The matrix below represents the variance-covariance matrix for b1, b2 and b3 that have been estimated...

The matrix below represents the variance-covariance matrix for b1, b2 and b3 that have been estimated for the multiple regression model yi = β1 + β2xi2 + β3xi3 + ei

A B C

D E F

G H I

Which of the following statements is correct?

A) D = B

B) The square root of A = the variance of b1.

C) The square root of D = the variance of the variable xi3.

D) G is the covariance between b1 and b2.

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Answer #1

Answer to the question:

Option a: D=B

Explanation: In the following image we will produce the matrix accordingly with the above model as:

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