When we are estimating the coefficient in R, "Std Err" will be produced by "lm". Is it Std or SEM? How is it calculated? Run lm function with any R data set will give an example.
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I think R returns the estimated standard deviation of the sampling distribution of the coefficients. – Demetri Pananos Dec 02 '18 at 05:56
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Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.02224 0.03189 0.697 0.486
x -0.03747 0.03214 -1.166 0.244
If you mean the column with header Std. Error, then it is the estimated standard error of estimated regression coefficients.
user158565
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Thank you! Is it standard deviation? What is the formula used to determine the Std. Error? – High GPA Dec 02 '18 at 11:10
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When you cannot figure out you should call it standard error or standard deviation, you can just call its square as **variance**. The appear of standard error or standard deviation statistics is disaster. For calculation, see https://stats.stackexchange.com/questions/85943/how-to-derive-the-standard-error-of-linear-regression-coefficient – user158565 Dec 02 '18 at 16:48