§62多重共线性对回归模型的影响 β=(B1,B2)的协方差阵为 COV(B)=O(XX) XX= 12 22 (X'X) xx(-L12L1)L1Z2-2 22 12 11122 12 11§6.2 多重共线性对回归模型的影响 ) ˆ , ˆ ( ˆ 1 2  =    的协方差阵为 cov（β ˆ )=σ 2 (X′X) -1          = 12 22 11 12 L L L L X X           = − 12 11 1 22 12 - 1 - ( ) L L L L X X X X         − = 12 11 22 12 2 11 22 12 - 1 - L L L L L L L         − = 12 11 22 12 2 11 22 12 - - (1 ) 1 L L L L L L r