Suppose you have fit a multiple linear regression model and the matrix (XTX)-1 is 0.8938 0.0282 0.0176 -0.0282 0.0013 0.0002 -0.0176 0.0002 0.0009. How many regressor variables are in this model? If the Error sum of squares is 307 and there are 15 observations, estimate the variance σ^2 of the random error ε. Estimate the variance of each least square estimator β.
Added by Yvonne K.
Step 1
The given matrix is the inverse of the XTX matrix, which is a square matrix of size (k+1) x (k+1), where k is the number of regressor variables. In this case, the matrix is 3x3, so there are k+1=3 regressor variables, which means k=2. Show more…
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