I would like to obtain the variance-covariance matrix from a published set of regression outputs. These outputs provide a mean value and confidence intervals. I will convert the confidence intervals into standard errors.
I plan to use these standard errors to calculate the variance-covariance matrix. Before doing the calculation on 'real' data, I did a simple regression with two right hand side variables and used a popular statistics package to output the post-estimation variance-covariance matrix to check my calculations. The diagonals are easy to calculate being the product of the estimated standard errors. I had (naively) thought that the off diagonals would be simply the product of the std error of variable 1 and the standard error of variable 2.
This is not the case and I am somewhat stuck as to where to go next. I will be very grateful for any advice.