I know that standard error between two independent variable can be calculated as below. SE(1,2) = SQR(SE1^2 + SE2^2) where SE1 is standard error for variable 1, SE2 is standard error for variable 2.
It is because covariance between two independent variable is zero. So, formula above does not include covariance.
But how to calculate if these variables are dependent to one another.
Should it be like SE(1,2) = SQR(SE1^2 + SE2^2 - COV(1,2))
Take a look below regression output.
How I can calculate standard error difference for S1 and S2, if I know that they are dependent to each other.