Formula for the standard error of each estimated regression coefficient (SE Coef) - ID 547

Revised: 7/8/2008

Applies to

  • Minitab 16

Description

How is the standard error of each estimated regression coefficient (SE Coef) calculated?

Solution

The standard errors of the estimated regression coefficients are the square roots of the variances. The variances are the diagonal elements of the X'X inverse matrix times the mean square error (MSE).

Note: Professional versions of Minitab allow you to store the X'X inverse matrix and MSE (choose Stat > Regression > Regression > Storage). The Student Edition allows you to store the MSE.

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