Confidence intervals of linear multiple regression

Considering following linear multiple regression model:
where observations , coefficents and is a white Gaussian noise term.
By the definition of the confidence interval:
where is the critical value, and standard error
I understand that
and
they use sqaure root of Variance
rather than the standard error?? Where is the ?

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Asked:

on 2 Apr 2021

Edited:

on 2 Apr 2021

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