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Re: st: Standard error of the estimate for svy: reg


From   "Michael S. Hanson" <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard error of the estimate for svy: reg
Date   Wed, 22 Aug 2007 13:21:45 -0400

On Aug 22, 2007, at 12:47 PM, Steven Samuels wrote:

Ah, yes--the "Standard Error of the Estimate" nomenclature threw me. The root MSE does not appear to me to be the standard error of any estimate, but the terminology is obviously different in political science.
From Wooldridge (2006), p. 107:

"The positive square root of $\hat{\sigma}^2$, denoted $\hat{\sigma} $, is called the standard error of the regression (SER). The SER is an estimator of the standard deviation of the error term. This estimate is usually reported by regression packages, although it is called different things by different packages. (In addition to SER, $ \hat{\sigma}$ is also called the standard error of the estimate and the root mean squared error.)"

So, FWIW, it isn't just in political science that one finds the term "standard error of the estimate": I have seen it in numerous articles and textbooks on econometrics as well. (Slight apologies for the LaTeX code, but there is no better way I know of to indicate math in plain text e-mail messages.)

Hope this helps.

-- Mike


Wooldridge, Jeffrey M. "Introductory Econometrics: A Modern Approach," 3rd ed., Thomson South-Western. 2006.


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