I'm trying to calculate the SE for each coefficient given by a matrix formulation of MLR by the root of each diagonal in the so-called variance-covariance matrix, but I'm unsure how to construct this matrix.

  • $\begingroup$ Please see this page for the general maximum-likelihood case, and this page for the specific case of least-squares linear regression. As this site tries to minimize duplicate questions, yours is likely to be closed unless you edit the question to focus on issues that remain for you despite the information on those pages. $\endgroup$
    – EdM
    Oct 4, 2019 at 14:37