From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>

Date: Sat 13 Jan 2007 - 20:11:37 GMT

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sun Jan 14 07:13:13 2007

Date: Sat 13 Jan 2007 - 20:11:37 GMT

On Sat, 13 Jan 2007 algorithms@gmx.de wrote:

> My problem is that I do not know how to compute the standard error Sb of some regression coefficient, when I have done nothing more than to use the lm command in this manner:

*>
**> Out = lm(A~ data$B + data$C + data$D)
*

better make that

Out <- lm(A ~ B + C + D, data = mydata)
and then

summary(Out)

computes the usual t statistics. See the source code for what is exactly
computed. Several components of the summary also have their own extractor
function, e.g.

coef(Out)

vcov(Out)

extract the estimated coefficients and covariance matrix respectively.
Thus, you can compute the t statistics by hand via
coef(Out) / sqrt(diag(vcov(Out)))

hth,

Z

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sun Jan 14 07:13:13 2007

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