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Re: st: lincom standard errors
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.
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
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