Re: st: standard errors in regression

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 12:01 PM 8/15/2006, Dick Campbell wrote:
> I think you have forgotten to account for the correlation of
> the two independent variables. There are many algebraically
> equivalent formulae for the SE of a given coefficient. but
> all of them account for, in one way or another, the correlation
> structure of the X's. In the two independent variable case,
> this amounts to including the term 1-R-square for the regression
> of X1 on X2 in the denominator.  The formula you show below does not do this.
> When I apply the correct formula I get the same result
> as Stata.
I agree with Dick.  I think the formula Maarten gave is the formula 
for the standard error in a bivariate regression, which is why he may 
have seen it in various texts (except I think it should be N-1, not 
N).  I give a couple of different formulas on p. 1 of the following:

http://www.nd.edu/~rwilliam/xsoc592/lectures/x91.pdf


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