# 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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### 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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### 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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### How to derive the kth coefficient standard error?

Given a multiple regression with the usual assumptions satisfied, with $X \in R^{n \times p}$ $$y = X \beta + e$$ I know that the estimated variance is given by $\sigma^2 (X^TX)^{-1}$. But what I ...
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### The Standard Error of Mean (SEM) and Non-normal sampling distributions

I know that as the sample size increases, the sampling distribution of the mean will become normally distributed, even if the population data are skewed (non-normal). So we can safely assume that the ...
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### means and errors for election polls

I'm trying to assess how to compute the errors associated with a numbers of likely voter polls of the Warnock Georgia Senate race. I have estimates of the margin of victory from 9 surveys of varying ...
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### Correcting for robust/clustered standard errors within the lm function or replacing the results

Cross posted on Stackoverflow with a bounty of 200. EDIT: I think I have to clarify this question a little bit more. So what I am looking for, is a function in which I can provide both the vcov matrix ...
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### Manual calculation - instrumental variable with a tobit distribution in the 2nd stage, different results with robust errors

Cross Posted at Stack Exchange. I am trying to correct my standard errors, when using an ols distribution in the first stage and using a tobit distribution in the second. For some reason, I am getting ...
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### Ways to shrink standard errors in models for discrete dependent variables

Consider a simple Probit model $$Y_i=1\{X_i\beta+\epsilon_i\geq 0\}$$ where $\epsilon_i$ is standard normal independent of $X_i$. (1) Cardinality of the support of $X_i$ Is it true that (and, if yes,...
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### What's the difference between regressing $y$ on $x_1$ and $x_2$ rather than on their sum $z = x_1 + x_2$ or their difference $d = x_1 - x_2$?

I remember reading about this somewhere, but I cannot find the source anymore and I'm not sure what the benefit of doing it would be. Do the results of the regressions have anything in common (e.g. ...
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### Why is the standard deviation of the average of averages smaller than the standard deviation of the total?

Say I want to estimate the test error. I can either get $N$ batch $B_i$ then take the average of their average error (so the R.V. is the mean): $$\frac{1}{N} \sum^N_{n=1} \mu(B)$$ or I can take ...
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### Why errorbars shouldn't be SEM*√2 long by default?

There is no standard recommendation for length of errorbars to be used while showing spread of data or means in graphics. Standard deviation (SD), standard error of mean (SEM) and 95% confidence ...
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### Does Null Hypothesis affect Standard Error?

Here under $H_0:P_1=P_2$ the standard error gets some common $P$ value which is computed from a pooled estimate. Why is the $\sigma$ value not calculated in a similar way in the next one? There under ...
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### How to calculate standard error of prediction [duplicate]

Is it possible to approximate the standard error of the prediction based on the standard errors of intercept and coefficients?
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### How to obtain standard error of parameters in maximum likelihood when reparametrized/transformed?

Sometimes parameters in the maximum likelihood estimation process are reparametrized for numerical convenience. As an example if I'm fitting maximum likelihood estimation (MLE) to a data that is ...
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### Hodrick Standard Errors in R? [closed]

Does anyone know how to implement Hodrick Standard errors in R? I could not find any package for it in R. Is anyone aware of the same or any open source code that implements it? I want to use Hodrick ...
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### How to calculate SE for interaction in GLM

I am struggling mightily trying to figure out how to calculate the SE related to an odds ratio for a linear combination of two factors in a logistic regression model with an interaction term included. ...
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