Tell me more ×
Cross Validated is a question and answer site for statisticians, data analysts, data miners and data visualization experts. It's 100% free, no registration required.

Possible Duplicate:
How do I reference a regression model's coefficient's standard errors?

If I have a dataset:

data = data.frame(xdata = 1:10,ydata = 6:15)

and I run a linear regression:

fit = lm(ydata~.,data = data)
out = summary(fit)

Call:
lm(formula = ydata ~ ., data = data)

Residuals:
       Min         1Q     Median         3Q        Max 
-5.661e-16 -1.157e-16  4.273e-17  2.153e-16  4.167e-16 

Coefficients:
             Estimate Std. Error   t value Pr(>|t|)    
(Intercept) 5.000e+00  2.458e-16 2.035e+16   <2e-16 ***
xdata       1.000e+00  3.961e-17 2.525e+16   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

Residual standard error: 3.598e-16 on 8 degrees of freedom
Multiple R-squared:     1,  Adjusted R-squared:     1 
F-statistic: 6.374e+32 on 1 and 8 DF,  p-value: < 2.2e-16 

How do I extract the standard errors of the regression coefficients from either fit or out? I can't seem to figure it out. Thanks!

share|improve this question

marked as duplicate by chl May 2 '12 at 10:54

This question has been asked before and already has an answer. If those answers do not fully address your question, please ask a new question.

2 Answers

up vote 2 down vote accepted

It's useful to see what kind of objects are contained within another object. Using names() or str() can help here.

names(out)
str(out)

The simplest way to get the coefficients would probably be:

out$coefficients[ , 2] #extract 2nd column from the coefficients object in out
share|improve this answer

Like this:

fit = lm(data ~ .,data = data)
se <- sqrt(diag(vcov(fit)))

These are the classical asymptotic ones you see in summary. Please also see the links in my answer to this same question about alternative standard error options.

share|improve this answer

Not the answer you're looking for? Browse other questions tagged or ask your own question.