I am a bit puzzled. I always thought (and just checked it in
several books) that in OLS regression the standard error of
the coefficient for explanatory variable x is:
root mean squared error / { sqrt(N) * standard deviation of x }
However if I try that in Stata and compare it with Stata output
(see example below) I get numbers that are close, but differ
enough for me to suspect that the cause of the difference is
more than just numerical / rounding errors in my calculation.
What am I missing?
Thanks,
Maarten
*-------begin example------
sysuse auto, clear
reg price mpg foreign
sum mpg
di e(rmse)/(sqrt(r(N))*r(sd))
*------end example-------
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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