In reply to Ksharp.

I think you mean the COVB option. The standard errors of the parameter estimates are the diagonal elements of the COVB matrix.

No, it does not mean that all estimates have to have the same sign. The statement is merely a comment about solutions for X`X when the matrix is nearly singular. Suppose you think that Y should be positively related to X1 and X2. When only X1 is in the model, the model is Y = 10*X1. What happens if you add X2? You might hope for Y = 5*X1 + 5*X2, but an equally valid solution is Y = 12*X1 - 2*X2. This equation makes it look like Y is negatively related to Y, but it isn't. Instead the collinearity is causing the coefficient of X2 to have the "wrong sign."