Questions tagged [standard-error]
Refers to the standard deviation of the sampling distribution of a statistic calculated from a sample. Standard errors are often required when forming confidence intervals or testing hypotheses about the population from which the statistic was sampled.
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What standard error should I use with correlated clusters in maximum likelihood estimation of multinomial logit
I have a dataset with 14 clusters. Each cluster is a time series of 80 periods with autocorrealtion, and I am doing maximum likelihood estimation of a structural multinomial logit model. I suspect ...
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Is it better to sample more time points or more replicates at constant sample size?
I would like to analyze my data with a linear regression:
t*k = x
x is my measurement with some error
t is time
I want to fit k as best as I can with the best ...
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Standard errors for fixed effects having only the model estimates
I am trying to joint model longitudinal data with informative observation times. Taking the simpler case, where the outcome and time processes are associated through a random intercept, I already ...
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Regression model with good p-values but bad error
Suppose there is some data and all assumptions for regression are met. I fit 2 regression models now:
Case 1: Regression model where all coefficients have significant $p$ values but overall the model ...
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Standard error of the mean for a questionnaire?
I have the standard deviations and means of 7 questions of a questionnaire and also the sample size. How can I calculate the standard error of the mean of the total questionnaire? I know SEM is ...
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R - Confidence intervals for proportion of zero in a stratified random sample
I'm putting together prevalence estimates and CIs for the results of a stratified SRS survey, for which I've already computed weights. The strata are 5 different regions, each observed over time, and ...
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SE and SD in a mixed ANOVA design
I have conducted a mixed-design ANOVA with a between-subjects factor (Group: Control Group [0] vs. Intervention Group [1]) and a within-subjects factor (Time: Baseline [0], Follow-up 1 [1], and Follow-...
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Standard Error of Truncated Fisher's z Transform
I have a question regarding data following the truncated Fisher's z-transform. I currently understand that the correlation coefficient data, after the unbounded Fisher's z-transform, has a standard ...
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Clustering standard errors in panel data
I have a panel data with companies and years as panel indicators. My test variable of interest is the level of corruption in the country in which the firm is located, which is a continuous variable ...
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How to understand this coefficient in a linear regression confidence interval?
I'm working on a situation (with computations made by someone not involved anymore), where we have a linear regression
and a confidence interval (of shape given in Shape of confidence interval for ...
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In multiple linear regression does heteroskedasticity need to be evaluated for each predictor or just for the overall model?
If we want to make valid inferences about a simple linear regression estimator with one term, then homogeneity of variance of the residuals is a common assumption for making valid inferences.
However, ...
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How to report the standard error of a percentage?
I have a variable that is a proportion. Let's say it is the proportion of boys in a classroom. I calculate its standard error as well. Suppose the value and its standard error is $0.1512$, and $0.0341$...
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Why is the standard error of interaction different?
I would like to know and understand why an interaction in a linear model yields different standard errors than simple effects.
Here is an example in R with $n=25$, no correlation between simple ...
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Estimating error rates from inter-rater reliability values
I have been tasked to approximate the error rate of a research procedure.
The only data I have available are reports which specify the number of targets (n), the number of raters (k) and give pairwise ...
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Triplets, Sampling Criteria and Variance?
Say I have a population size of 1000 students from schools in different towns (assume they are in the same class year, of mixed gender, same country/state). The mean, variance and standard deviation ...
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fixest and glm iid standard errors for Poisson regression
I am trying to manually compute iid standard errors for Poisson regression via the fixest package. Unfortunately, I fail to match ...
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Is it more correct to say "bias of the standard error of the estimator" or "bias of the standard error of the estimate"
I understand an estimator is a "rule" (e.g., a function, say $g$) that produces an estimate ($\hat\theta$) of an estimand (say, a population parameter, $\theta$).
My question: is it ...
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Heteroskedasticity-robust standard errors computation by hands
Consider the following multiple linear regression model
\begin{equation}
y=\beta_0 + \beta_1 x_1 + ... + \beta_k x_k +u
\end{equation}
If the variance of the error is not constant for any value of the ...
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How to know when to use non-parametric coefficient confidence interval estimates for regression?
Say I have either logistic regression or simple linear regression and I am not sure if I have a moderate number of observations, $n = 40$.
How do I know when to switch to using a non-parametric ...
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Shouldn't we consider the difference in variance between population and a sample while calculating confidence intervals?
To comprehend the concept of confidence intervals, I came up with an example. I want to share it here for your better understanding what my question is all about.
Suppose, we want to figure out what ...
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Weighted regression with no variance within cluster
Given a clustered data set with no variation within a cluster, shouldn't a regression weighted with the inverse cluster size give the same results as a regression with only one observation per cluster?...
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Hypothesis testing on a model's inference
I have the following situation, which I've mapped to an example below.
At the conclusion of an A/B test done on a website I've a metric I care about. Let's assume its the number of users clicking on a ...
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Pooled Standard deviation of means
I am reading the book Statistical Methods In Online A/B Testing.
I have two questions:
1]
Please Consider the scenario, an A/B test in which the variance of A and B groups are assumed to be same, and ...
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How to construct the standard error for the sum of three parameter estimates corresponding to two dummy variables and their interaction term?
I have a simple multiple linear regression model with an interaction term, and I would like to construct a standard error to support interpretation. My goal is to construct a standard error for an ...
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How to calculate standard deviation when only mean of the data and sample size is available?
Many a times it happens that you get comprehensive data at a group level and you have to compare one group against another but you don't have the data points separated. In these cases, how do we get ...
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What is the standard error of average cross validation error in elastic net or lasso?
I don't have any colleagues who I can ask about this so I must turn to my colleagues on Cross Validated.
I am fitting a stacked adaptive elastic net regression and am having some trouble understanding ...
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How are robust standard errors applied in logistic regression
I have been reading up on robust standard errors and had a few questions regarding how their use in logistic regression.
I have read here that heteroscedasticity is not an issue in logistic regression ...
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Why is the sample standard deviation used in the z-test?
The assumption of the z-test is that the population standard deviation $\sigma$ is known. With this in mind I tried to manually compute the p-value for a (one-tailed) z-test that the sample mean $\bar{...
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Why do we use the t test statistic?
I am trying to understand the rationale behind the t-test. To explain my question(s), let's assume a simple scenario in which we want to do a one-sided test whether the mean of a sampled random ...
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Does PLM package (PGMM function) use Windmeijer-corrected cluster-robust errors? [closed]
I am performing a GMM analysis using the pgmm function in the plm package in R. I read a lot about different errors (nonrobust, ...
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When to put error bars on distribution density for an ordered categorical variable?
I have seen various articles putting error bars on distribution density of either ordered categorical variables or categorical variables.
$Q:$ When is it appropriate to put SE error bar on estimated ...
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HAC Standard Errors - Number of Lags in an Unbalanced Panel
I am working on a panel dataset with a lot of missing data. Because I have reason to believe that the error terms are autocorrelated, I want to use HAC (Newey West) standard errors. I am unsure how to ...
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How to derive a random variable's standard error and mean with its log-normal distribution estimation
I am trying to do a meta-analysis, but I met some papers which estimate the key parameter (i.e., $\alpha$) by assuming its log follows a normal distribution (i.e., $\ln(\alpha)$ ~ $N(\mu, \sigma^2)$).
...
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Confidence interval for standard deviation of means
I am doing some image analysis which involves:
Creating a grid of square objects
Calculating mean pixel values in each grid (m)
Calculating standard deviation of the mean pixel values (s)
Multiplying ...
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Is there any intuition behind the variance of the multiple linear regression coefficient?
The variance of the coefficients from a multiple linear regression are:
$$ Var(\beta_k|X) = \sigma^2(X'X)^{-1} $$
The single linear regression formula seems fairly intuitive with the denominator being ...
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How does R lm() function calculate standard error of slopes with more than one predictor? [duplicate]
I am confused as to why the standard error of slopes calculated by the R function 'lm()' differs from the following formula when there is more than one predictor:
$$
SE(\hat{\beta}_j) = \sqrt{\frac{\...
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Why are FGLS standard errors so low when estimating linear regression on panel data?
I am currently writing my master thesis an the effect of academic publication on anomaly returns. The idea is that in finance literature anomaly - factors/portfolios are proposed. After the factor is ...
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Standard deviation of means of samples
Problem: Suppose we have a population of size $m$ and we're taking simple random samples (without replacement) of size $n$. Let's denote the mean of the entire population by $\mu$. Assume we take $k$ ...
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Confidence and prediction intervals for log-log transformed data
I am making S-N curves and I have trouble.
Assume I have a formula
$S=f(2N)^b,$ where $f$ and $b$ are constants for which I want to calculate PI and CI, $2N$ is a dependent variable, $S$ is ...
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Curve fitting: Scaling the sigmas so that the reduced chi-squared statistic = 1. Is this a good heuristic?
In the official documentation for the python function scipy.optimize.curve_fit, the following description is given for a boolean-typed parameter absolute_sigma.
If False (default), only the relative ...
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standard error of conditional survival probability
Let $$S(t|t-1) := \frac{P(T>t)}{P(T> t-1)} = \frac{S(t)}{S(t-1)}$$ be the conditional survival probability. I have two questions.
Assuming $\text{SE}(S(t))$ and $\text{SE}(S(t-1))$ (as well as $...
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NA in lavaan output for Standard Errors (Std.Err), z-value, and p-value (P(>|z|))
unfortunately I have a problem with my lavaan output in R Studio (Version R-4.3.0). I would be very grateful to get help with my problem! I do not get standard errors, z and p values displayed. For ...
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What is n when computing the standard error or variance for a statistic computed per 1000?
Let's say we want to calculate the standard error for a statistic that proportion of heads per 1000 coin flips.
So let's say we flip a coin 200 times. We see heads 50 times.
$\hat{\mu}$, our estimate ...
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Confidence interval for covariance matrix
I am trying to get a understanding of how good the estimation is of my covariance matrix. Suppose I have random variables X1,..., X10 and they are all iid $N(\mu, \Sigma)$ where $\Sigma$ is a NxN ...
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When adding a confidence interval "manually", doesn't visually appear to cover most cases [duplicate]
I have a non linear regression model that is based on an exponential decay function. When I try to add a confidence interval, instead of using the models in built 'confidence interval' prediction ...
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Creating normal distributions with model uncertainty in Logistic Regression
I have a GLM model, with a count predictor (length) and binary outcome.
...
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standard error of the estimated slope coefficient [duplicate]
Consider the fitted values from a simple linear regression model with intercept: yˆ = 7 + 4x.
Assume that the total number of observations is n = 20. In addition, the explained sum of squares is SSE = ...
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Conceptually, what is the bias of the standard error of an estimator?
I'm reading Muthén and Muthén (2002) to learn how to use Monte Carlo simulation to estimate statistical power in regards to the coefficients of a model that is linear in its coefficients.
I understand ...
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Calculating standard error for amplitude and phase of estimates for amplitudes of fourier elements (time series context)
I have a time series consisting of a mean, a cosine harmonic wave, and seasonal ARIMA errors, and the seasonality period of both is 7 days:
$$
\begin{align}
x_t &= \mu + h_t + u_t \\
h_t &= ...
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Why are there two formulas for the z-test?
There are two formulas commonly used in the z-test: one involving the standard error (se) and the other involving the standard deviation (std) of the population. The formulas are as follows:
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