Confidence interval for the difference of independent regression slopes

ID: confidence-interval-for-the-difference-of-independent-regression-slopes

For two independent normal simple regressions with centered predictors, common unknown error variance and observations in each, let , . The estimated slope difference is normal with mean and variance . Pool the two residual sums of squares and use . Independence from the estimates gives a Student t-distribution pivot, yielding the displayed two-sided interval of confidence .

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