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st: standard errors in regression


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: standard errors in regression
Date   Tue, 15 Aug 2006 18:15:35 +0200

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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