Taken from the book "Fitting Linear Models" page 381
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Overall E&H Matrices
Shows the E and H matrices: • The elements of the E matrix are the cross products of the residuals. •
The H matrices correspond to hypothesis sums of squares and cross products. There is an H matrix for the whole model and for each effect in the model.
Diagonal elements of the E and H matrices correspond to the hypothesis (numerator) and error (denominator) sum of squares for the univariate F tests. New E and H matrices for any given response design are formed from these initial matrices, and the multivariate test statistics are computed from them.