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From |
Roger Newson <roger.newson@kcl.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: lincom standard errors |

Date |
Mon, 30 Sep 2002 16:36:43 +0100 |

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

5th Floor, Capital House

42 Weston Street

London SE1 3QD

United Kingdom

Tel: 020 7848 6648 International +44 20 7848 6648

Fax: 020 7848 6620 International +44 20 7848 6620

or 020 7848 6605 International +44 20 7848 6605

Email: roger.newson@kcl.ac.uk

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

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**References**:**st: lincom standard errors***From:*Angela Dills <adills@CLEMSON.EDU>

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