When we are estimating the coefficient in R, "Std Err" will be produced by "lm". Is it Std or SEM? How is it calculated? Run lm function with any R data set will give an example.
$\begingroup$
$\endgroup$
1
-
$\begingroup$ I think R returns the estimated standard deviation of the sampling distribution of the coefficients. $\endgroup$– Demetri PananosCommented Dec 2, 2018 at 5:56
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
2
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.02224 0.03189 0.697 0.486
x -0.03747 0.03214 -1.166 0.244
If you mean the column with header Std. Error, then it is the estimated standard error of estimated regression coefficients.
answered Dec 2, 2018 at 6:15
-
$\begingroup$ Thank you! Is it standard deviation? What is the formula used to determine the Std. Error? $\endgroup$– High GPACommented Dec 2, 2018 at 11:10
-
$\begingroup$ When you cannot figure out you should call it standard error or standard deviation, you can just call its square as variance. The appear of standard error or standard deviation statistics is disaster. For calculation, see stats.stackexchange.com/questions/85943/… $\endgroup$ Commented Dec 2, 2018 at 16:48