It's the former quantity we are looking for. Notice sigma-squared hat as no
index for variables or such so this will be a scalar.
-----Original Message-----
From: gov2001-l-bounces at
lists.fas.harvard.edu [mailto:gov2001-l-
bounces at
lists.fas.harvard.edu] On Behalf Of Jon Bischof
Sent: Sunday, February 17, 2008 3:07 PM
To: gov2001-l at
lists.fas.harvard.edu
Subject: [gov2001-l] sigma hat squared
Hey Jens,
When you ask us to estimate sigma-squared in problem 3b, it is unclear
to me whether you are taking about the estimated standard error of the
residuals (the parameter minimized under OLS) or the variance of the
individual coefficients (the diagonal of the variance-covariance
matrix). Could you offer some clarification?
--
Jon Bischof
Graduate Student
Department of Government
Harvard University
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