std.error of coefficients in lm

Date: Tue, 23 May 2000 16:21:55 +0200
From: Nina Lieske <nina.lieske at planet-interkom.de>
X-Accept-Language: de,en
To: r-help at stat.math.ethz.ch
Subject: [R] std.error of coefficients in lm

Dear All,
sorry for bothering you with a simple (?) question.

Is it possible to save the std.error of the estimated coefficients
obtained by the summary.lm function? Something analogous to coef( )?

The trick here is to remember (know) that summary returns something
that print.summary prints.  So

example(lm)
summary(lm.D9)

Call:
lm(formula = weight ~ group)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.0710 -0.4937  0.0685  0.2462  1.3690 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept)   5.0320     0.2202  22.850 9.55e-15
groupTrt     -0.3710     0.3114  -1.191    0.249
...

names(.Last.value)

[1] "call"          "terms"         "residuals"     "coefficients" 
 [5] "sigma"         "df"            "r.squared"     "adj.r.squared"
 [9] "fstatistic"    "cov.unscaled"

summary(lm.D9)$coeff

Estimate Std. Error   t value     Pr(>|t|)
(Intercept)    5.032  0.2202177 22.850117 9.547918e-15
groupTrt      -0.371  0.3114349 -1.191260 2.490232e-01

summary(lm.D9)$coeff[, "Std. Error"]

(Intercept)    groupTrt 
  0.2202177   0.3114349 

as required.

You could write a little function to do this.

More generally, the vcov function in the MASS package extracts
variance-covariance matrices, so try

library(MASS)
sqrt(diag(vcov(lm.D9)))
(Intercept)    groupTrt 
  0.2202177   0.3114349 

This works for lots of model classes, for example glm, nls, polr, multinom....

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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