A confidence interval (CI) is a statistical range that provides an estimate of the possible values for a population

parameter, such as the mean, proportion, or regression coefficients, along with a level of confidence that the
parameter falls within that range. It is a way to quantify the uncertainty associated with estimating population
parameters from a sample of data.
In the context of multiple regression, a confidence interval is used to estimate the range of values for the
regression coefficients (also known as model parameters) with a certain level of confidence. Multiple
regression models aim to predict a dependent variable based on multiple independent variables.
Here's how to compute confidence intervals for the regression coefficients in multiple regression:
1. **Fit the Multiple Regression Model**: First, you need to fit the multiple regression model to your data. The
model can be represented as:
\[Y = \beta_0 + \beta_1X_1 + \beta_2X_2 + \ldots + \beta_kX_k + \varepsilon\]
- \(Y\) is the dependent variable.
- \(\beta_0, \beta_1, \beta_2, \ldots, \beta_k\) are the regression coefficients you want to estimate.
- \(X_1, X_2, \ldots, X_k\) are the independent variables.
- \(\varepsilon\) represents the error term.
2. **Calculate Standard Errors**: Compute the standard errors (SE) of the regression coefficients. These
standard errors measure the uncertainty or variability in your coefficient estimates. You can calculate them
using statistical software or tools that provide regression output.
3. **Determine the Confidence Level**: Choose the desired level of confidence for your confidence interval.
Common choices are 95% or 99% confidence intervals, but you can choose a different level based on your
needs.
4. **Find the Critical Value**: For the chosen confidence level and the degrees of freedom associated with
your regression model, find the critical value from a t-distribution or a standard normal distribution (if the
sample size is sufficiently large). The critical value corresponds to the desired level of confidence and is
typically used to calculate the margin of error.
5. **Calculate the Margin of Error**: The margin of error (ME) is calculated by multiplying the critical value
by the standard error of the coefficient:
\[ME = \text{Critical Value} \times SE\]
6. **Compute the Confidence Interval**: Finally, you can construct the confidence interval for each coefficient
by adding and subtracting the margin of error from the estimated coefficient value:
\[\text{Confidence Interval} = \text{Coefficient Estimate} \pm ME\]
Repeat these steps for each of the regression coefficients to obtain separate confidence intervals for each one.
In summary, a confidence interval in multiple regression provides a range of values within which you can
reasonably expect the true population parameter (the coefficient) to fall with a specified level of confidence. It
quantifies the uncertainty associated with your coefficient estimates based on the sample data and the chosen
level of confidence.