Re: st: lincom standard errors

[Roger Newson <roger.newson@kcl.ac.uk>]

At 11:06 30/09/02 -0400, Angela Dills wrote:
> I'm running a regression of y on x and x-squared.  I then want to 
> calculate dy/dx at the mean of x.  I use lincom and get an estimate and a 
> standard error for the estimate.  What I can't figure out, however, is how 
> the standard errors for this estimate are calculated.  Thanks,
If  beta is the vector of coefficients, V is the covariance matrix of beta, 
and A is a vector defining the linear combination (which is equal to 
transpose(A)*beta), then the variance of the linear combination is 
calculated as transpose(A)*V*A, and the standard error of the linear 
combination is the square root of the variance of the linear combination.

I hope this helps.

Roger


--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
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Tel: 020 7848 6648 International +44 20 7848 6648
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Email: roger.newson@kcl.ac.uk

Opinions expressed are those of the author, not the institution.

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