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Re: st: Standard error of the estimate for reg


From   "Arne Risa Hole" <arnehole@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard error of the estimate for reg
Date   Fri, 31 Aug 2007 12:09:37 +0100

Hi Eva,

I can't replicate this result - in the simple example below the mean
SE is very close to the SD of the beta (.1009669 vs .1009727) despite
the relatively small sample size (N=100):

Arne

set seed 12345

capture program drop simreg
program simreg, rclass
	version 9.2
	drop _all
	set obs 100
	gen x = invnorm(uniform())
	gen e = invnorm(uniform())
	gen y = x + e
	reg y x
	return scalar b = _b[x]
	return scalar se = _se[x]
end

qui simulate b=r(b) se=r(se), reps(5000): simreg

sum b se


On 31/08/2007, Eva Batistatou
<Evridiki.Batistatou@postgrad.manchester.ac.uk> wrote:
> Hi everyone.
>
> A quick question:
>
> I run some simulations and after regression analysis on 5,000 simulated
> datasets,I calculate the mean slope b and mean standard error of b's.We know
> that the mean SE(b)=standard deviation(b1,...,b5000).However,when instead of
> reporting the mean SE,I calculate the SD of b's,I find different results.Is it
> possible that this has to do with how STATA calculates the standard errors??
>
> Thanks in advance!
>
>
>
>
>
> --
> Eva Batistatou
> PhD Student
> Biostatistics Group
> Division of Epidemiology and Health Sciences
> School of Medicine
> University of Manchester
> Tel: +44 (0) 161 275 5666
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