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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Calculating the standard error for the ratio of 2 random variables?

I have 2 40x10 matrices, $X$ and $Y$. Each row represents a sample, and each column represents a different trial. Its OK to assume that $X$ and $Y$ are random normal variables if that's relevant. I ...
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How to calculate the Standard Error of a Wald Estimator?

I am currently working with a dataset about workers and their wages, There are 329,509 observations of workers, and we can observe: lwage : the log weekly wage of a worker educ : the worker’s years ...
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Standard Error of Estimate

In a simple regression analysis based on the least squares regression equation, I got the predicted value of 7.15 for the predictor value of 11. The sample size is 35. I computed the Standard Error of ...
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Confidence interval for combined populations

I'd like to compare two approaches for calculating the confidence interval ($CI$) when estimating the mean for a sample of weighted values: The first approach is based upon the standard error of the ...
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How to compute standard errors of an estimator with antithetic variates?

I'm pricing American options using Longstaff and Schwartz Least square method. When using the following Python code, I obtain nearly the same prices and standard errors as in the Valuing American ...
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Log and exponential uncertainty propogation

I am processing data on a radioactive decay experiment, and need to find the errors on some quantities that I can get from some fit parameters. I would like to obtain: $\sigma A$ from $A = e^{a}$, ...
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Error propagation for parameters of multiple similar fits

I have a set of similar, uncorrelated measurements, each containing a few data points like the following: The quantity of interest is the slope of a linear model ($y = mx + b$) that is fitted to each ...
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Relative mean squared error in functions estimation

The questions are actually two: What is the best way to define a relative error in function estimation? And what the best to define a relative mean squared error for the estimation of multiple ...
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The difference between a standard error and a propagated error

I'm confused about the difference between the standard error and the propagated error. For example, say that I got two measurements which I want to average: $16.04 \pm 0.31$ and $15.72 \pm 0.28$. The ...
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standar error of non-linear regression

I'm trying to compute the standar error of a non-linear regression fit, I find the answer in this post Non-linear regression confidence interval But i did't find that formula in any other place,and I ...
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Question about confidence intervals and prediction intervals

Considering following linear multiple regression model: \begin{equation} y=X\beta + e, \end{equation} where observations $y\in\Re^n$, coefficents $\beta\in\Re^p$ and $e\sim N(0,\sigma I)$ is a white ...
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Clustering standard errors at individual and/or organisation level with fixed effects

So, I have a relatively large panel dataset (26,000 observations) with data on speech by individuals belonging to political parties. The data is grouped by individual-week (i.e. an observation for ...
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Any index/parameter to evaluate std error and std deviation?

I saw there are tons of good questions on standard error y deviation. I read many of them and I think I got the point. However I am still not sure that showing one over the other is correct. Unless ...
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How to compare the standard deviations from two different kind of fits?

I have a curve fitting problem and I have two algorithms. One that has a constant parameter and another that does not. The results are good, but I want to conclusively say that one algorithm is better ...
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How to compare a Linear Regression’s Coefficients with the Coefficients for its Subgroups using Standard Error?

Assume a linear regression model has been made of an item’s overall utility value, and elements like durability and color availability have statistically significant coefficients in the overall value ...
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Error in linear regression as function of independent variable

I have some x and y data that are clearly correlated like this: So we can predict y if we know x. We can also calculate the mean error in our prediction by taking the root mean square of the ...
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How to report a +/- standard error for logarithmic data?

I have some data $y$ which varies logarithmically which I am fitting with MCMC methods. It makes more sense to do my analysis in the logarithmic space $z = \mathrm{log}(y)$. As I result, I end up with ...
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When a scalar variable is normally distributed, how does one estimate the standard deviation of this underlying distribution using linear models?

I have a sample of N for two variables X and Y, where Y can be assumed as equal to bX + $\epsilon$, b ~ N($\mu$,$\sigma$), and $\epsilon$ ~ N(0,1) Using a simple linear regression, I tried to ...
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Which standard errors should I use in the quaids command in stata?

I am estimating an Almost Ideal Demand System (AIDS) for different meat types using the stata command quaids to calculate price and income elasticities. I have household consumption data over several ...
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derivation for standard error of combined regression coefficient

I am trying to understand the answer from whuber. I think I know how to derive the standard error $$s = \sqrt{\frac{(n_1-p) s_1^2 + (n_2 - p)s_2^2}{n_1 +n_2 - 2p}}.$$ To be specific, $s_1^2 = \frac{1}{...
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Evaluate the confidence interval

I am a stats noob and I stumbled upon a problem that might be trivial for this community. I will try to describe the problem as accurately as possible given that I have to obfuscate the name of some ...
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Standard errors for multiple response questions

I would like to use SE formula {SE=Sqrt(p*(1-p)/n)} to calculate SE for multiple response questions. For instance, for the question "what social media platform do you use? select all that apply&...
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Conley Standard Errors in Logit and Probit

I am looking for an implementation of Conley (1999, 2008) standard errors in logit and probit regressions. There is code targeting OLS regressions (1, 2, 3, 4), but I did not find anything adequate ...
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HAC variance to construct standard errors

I am facing some difficulties understanding this question. It hasn't been long since I started with econometrics, so I'm new to all of this. Suppose we have a function $$E[c_t|y_t,c_{t-1},y_{t-1},c_{t-...
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Interpreting divergence between standard error and observed standard deviation of population

I have a simple dataframe. Users come to my website and sign up for a trial. I consider each sign up as a conversion. But my conversion rate is fluctuating wildly every day even though I have about ...
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Why do two confidence intervals only overlap when their difference $(\theta_1 − \theta_2) \pm z(SE_1 + SE_2)$ includes 0?

I am able to check if the interval contains 0 which I can find out by just plugging numbers into the above formula but I am curious as to why this interval containing zero means that the two CI's of $\...
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Reference request: accounting for AIC stepwise model selection with bootstrapped standard errors

The use of the AIC for model selection via comparison over many models is well-known and rightly maligned. But I read an interesting passage from Hastie et. al.'s classic The Elements of Statistical ...
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Adding of two confidence intervals

Given two variables $\bar{A}$ with 95% confidence interval [$A_0$,$A_1$], and $\bar{X}$ with 95% confidence interval [$X_0$,$X_1$], how would one calculate the 95% confidence interval of a composite ...
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Similar estimate standard errors in GLMMs using a wide range of environmental variables

I have a data set on animal species diversity at 40 study sites from3 sub areas. The data comprise about 60 environmental variables. I am interested in the effect of each variable on the species ...
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Estimate the error on gaussian fit parameters as function of curve sampling points

My function is a Gaussian: $$ y(x_i,\mathbf{a})=a_1 e^{-(x_i-a_2)^2/(2a_3)^2} $$ which is sampled at discrete locations $x_i$. According to the definition the covariance matrix $C$, can be obtained ...
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Converting between confidence interval and standard error

In this link it says that we can convert a 95% confidence interval to the standard error by this calculation: $$SE = (upper limit – lower limit) / 3.92$$ For 90% confidence intervals divide by 3.29 ...
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The variance of variance-covariance matrix

Looking at answer on the standard error of the variances and this answer on the standard error of the covariances, and knowing that both are part of the variance-covariance matrix, $\Sigma$, I am ...
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Controlling for serial correlation in error terms in panel data with large T and small N

I have a panel data with small N but large T (19 firms but 30-50 quarters per firm). How can I control for serial correlation in such a case? I know clustering will not be correct since I would have ...
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Margin of Error in a NPS result with promoters only

This is a follow-up to the response provided by @whuber on the question How can I calculate margin of error in a NPS (Net Promoter Score) result? @whuber pointed out that there are more sophisticated ...
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Standard deviation of error (SDE) application

There are standard deviation, standard error (SE), standard error of mean (SEM), then there is standard deviation of error (SDE) intended as a measure of error variability used in device measurement ...
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How can sample SD be substituted for population SD in standard error of means formula?

Standard error of sampling distribution of means is generally defined as (population SD/sqrt(n)) where n=sample size. But where population parameters are not known I have seen sample SD being used in ...
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Does it make sense to use a population parameter like $\sigma$ (population standard deviation) in the formula for SE?

Correct me if I am wrong but in the formula for SE $\text{SE} = \sigma/\sqrt{n}$, the numerator refers to population parameter. But in practical life, we resort to sampling because we don't know much ...
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Simply correcting OLS standard error in time series context

In microeconometrics, it is sometimes advised to always use heteroscedasticity-robust standard error (instead of testing for heteroscedasticity and using generalized or weighted least squares or ...
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Converting standard error to sampling variance for meta-analysis

Is it possible to get sampling variance (vi) from a standard error for meta-analysis. Specifically, I am unable to obtain raw data from the computation of an SMD. However, the SMD and confidence ...
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Is the standard error of the mean the square root of the sampling variance?

I came across different approaches for calculating confidence intervals in two stats books. Both books multiplies Z by the standard error of the mean. But how they compute the standard error of the ...
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Error in the fraction estimated from a finite sample?

This seems like a basic statistics question, but I (a non-statistician) have been unable to find a definitive answer in online searches, possibly because I'm not using the right search terms. Given a ...
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How to find se.fit in R by hand?

I'm trying to find by hand the se.fit. Focusing on the first observation (weight=$1.9$), when we write the following code: ...
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Which formula is used for t-value and standard error in statsmodels OLS

I want to understand how the python statsmodels library works. So when I am trying to get results using formulas from econometrics for OLS t-values and SEE or bse I am getting not the same answers as ...
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How to estimate the standard error of a particular effect size when authors reported exactly as zero?

Currently, I'm working on a meta-analysis that is basically based on data obtained from individual-studies. However, there are some cases where the authors report effect size value with exactly zero ...
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28 views

Confidence intervals with sums of transformed regression coefficients?

I have an index that is formulated as follows, for party $j$, group $s$, where $w$ indicates weight of party or group as share of population : $$ \lambda =\sqrt{\sum^J\sum^S w_j w_s(\alpha_j+\beta_{js}...
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high standard error for probit model [duplicate]

I have created two probit models with a sample size of 10000 in both. However, when I print the summary of these models, the standard error seems extremely high, 6.29e. What could be the reason for ...
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Determine stratified sample size $n$ with confidence level 95%, if required $SE $ of the estimated mean is given

I need to calculate sample size $n$, so that $SE$ of the mean would be 4 points. There are $55$ units in total in the $I$ group. $N_2 = 80$ in the $II$ group and $N_3=65$ in the $III$ group. The ...
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How did mdewey come up with this equation for the SE of an average of z-transformed correlations?

I have the exact same question as the OP of this thread: I have $k$ correlations which might be based on a different N of cases. After applying Fisher's z-transformation and getting $z_{av}=\sum_{i=1}^...
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degree of freedom in calculating the standard error

I theoretically modeled the velocity of an object as a function of time and have the experimental data (actual velocity over time). Since the model is nonlinear, I'm trying to test the goodness of fit ...
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Nonparametric estimation of standard error on large samples

The bootstrap seems to be the gold standard for attaching a standard error to a point estimate on a sample. However, if the sample size is very large, it can be prohibitively expensive to repeat the ...

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