Adding and subtracting one standard error of beta to the estimated beta indicates there is approximately what percent chance that the true beta lies in the range?

Question

Quizplus · Accepted Answer

Adding and subtracting one standard error of beta to the estimated beta gives a range of approximately two standard errors. According to the normal distribution, there is about a 68% chance that the true beta falls within two standard errors of the estimated beta. Therefore, the answer is D (66%), which is the closest option to 68%.

Adding and Subtracting One Standard Error of Beta to the Estimated