Recent content by chevrox

Thanks for the replies! Yes, X is the nxk matrix of explanatory variables such that y=Xβ+ε. I think I understand it now. Variables in X do not necessarily follow a stochastic process, and even if they do, since all variability of y is explained by ε in the model, the independent variables...

So in computing the variance-covariance matrix for β-hat in an OLS model, we arrive at VarCov(β-hat)=(σ_ε)^2E{[X'X]^-1} However, I'm incredulous as to how X is considered non-stochastic and how we can just eliminate the expectation sign and have VarCov(β-hat)=(σ_ε)^2[X'X]^-1 I'm...