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Re: st: lincom standard errors


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
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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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