Hi,
I am trying to replicate the R's result for VCV matrix of estimated
coefficients from linear model as below
data(mtcars)
model <- lm(mpg~disp+hp, data=mtcars)
model_summ <-summary(model)
MSE = mean(model_summ$residuals^2)
vcov(model)
Now I want to calculate the same thing manually,
library(dplyr)
X = as.matrix(mtcars[, c('disp', 'hp')] %>% mutate(Intercept = 1));
solve(t(X) %*% X) * MSE
Unfortunately they do not match.
Could you please help where I made mistake, if any.
Thanks
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