List,

Would someone be so kind as to point me to a function that will calculate
simultaneous confidence intervals of regression coefficients based upon
their distribution as (under the assumption of normal errors, with
\mathbf{X} as the design matrix):

$\hat{\mathbf{\beta}} \sim N(\mathbf{\beta},
\sigma^2(\mathbf{X}^T\mathbf{X})^{-1})$.


'confint' calculates individual coefficients so far as I can tell, but I
need simultaneous CIs based on the confidence ellipse/ F distribution.
Inverting the ellipse gives this equation:

\mathbf{\hat{\beta}} \pm
\sqrt{\mathrm{diag}(s^2(\mathbf{X}^T\mathbf{X})^{-1}) \times p \times F_{p,
n-p, .95}}

Thanks, and sorry for such a dumb question.  Either I am not searching for
the right thing or this hasn't already been addressed in the lists (perhaps
because it is so easy).

Kyle

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