Extracting coefficients' standard errors from linear model
Uli Kleinwechter <ulikleinwechter at yahoo.com.mx> wrote in news:4811E2E9.3080603 at yahoo.com.mx:
Dear all, Hope this question is not too trivial... In order to correct standard errors from an estimation of a fixed effects regression model y need to extract the vector of standard errors of the coefficients of a simple linear model estimated using lm(var1~var2+var3+var4) Unfortunately I can't find out the corresponding function.
See if vcov() suits. From the lm() help page an example:
ctl <- c(4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14)
trt <- c(4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69)
group <- gl(2,10,20, labels=c("Ctl","Trt"))
weight <- c(ctl, trt)
lm.D9 <- lm(weight ~ group)
Then look at summary(lm.D9) and these results:
vcov(lm.D9)[2,2]
[1] 0.09699167
vcov(lm.D9)[2,2]^(1/2)
[1] 0.3114349 diag(vcov(lm.mdl))^(1/2) may be needed to get the vector you seek.
David Winsemius