If X is your p-1 variable matrix (with the first column vector being 1s),
i.e., nrow(X)=n and ncol(X)=p

then
MSE<-summary(lm(Y~X[2]+X[3] + ...X[P-1]))$s^2

and your coefficient (co)variance matrix is
MSE*ginv(t(X)%*%X)

Best,

Alex


On 10/29/07, Peter B. Mandeville <mandevip@hotmail.com> wrote:
>
> Greetings,
>
> On page 273, Cohen, Cohen, West, and Aiken (Applied Multiple
> Regression/Correlation Analysis for the Behavioral Sciences, Third Edition",
> state that the covariance matrix of the regression coefficients is provided
> by standard programs for multiple regression, including SAS, SPSS, and
> SYSTAT. How does one calculate the matrix in R. Thank you very much.
>
> pbmPeter B. Mandeville cel:      444 860 3204 tel:  52 444 826 2346-49 ext
> 532 fax: 52 444 826 2352 P.D. Favor de confirmar la llegada de este
> correo. Gracias.
> _________________________________________________________________
>
>
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>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



-- 
***************
A. Alexander Beaujean, Ph.D., LSSP
Licensed Psychologist (Provisional, TX)
http://myprofile.cos.com/abeaujean
http://www.baylor.edu/soe/faculty/index.php?id=38476


"General impressions are never to be trusted. Unfortunately when they are of
long standing they become fixed rules of life, and assume a prescriptive
right not to be questioned. Consequently those who are not accustomed to
original inquiry entertain a hatred and a horror of statistics. They cannot
endure the idea of submitting their sacred  impressions to cold-blooded
verification. But it is the triumph of scientific men to rise superior to
such superstitions, to devise tests by which the value of beliefs may be
ascertained, and to feel sufficiently masters of themselves to discard
contemptuously whatever may be found untrue." --Sir Francis Galton, FRS

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