CHAPTER 2 THE CLASSICAL MULTIPLE LINEAR REGRESSION MODEL 4 The Eelo s Egee(o E E gee(o s a Var cet a g l The assumption of common variance for e is called homoskedasticityCHAPTER 2 THE CLASSICAL MULTIPLE LINEAR REGRESSION MODEL 4 These imply E (εε ′ |X) =       E (ε 2 1 |X) E (ε1ε2|X) · · · E (ε1εn|X) . . . E (ε 2 n |X)       = σ 2 I and V ar [ε] = σ 2 I. The assumption of common variance for εi is called homoskedasticity