This paper derives an unbiased estimator of the covariance matrix of the "mixed regression estimator" suggested by Theil and Goldberger (1961) for combining prior information with the sample information in regression analysis. This derivation facilitates the construction of finite-sample standard errors for the mixed estimators of the individual regression coefficients. Comparisons are made between the unbiased covariance estimator and conventional consistent estimators based on ordinary least squares and generalised least squares formulae.