Could someone please help me by giving me a reference to how one computes standard errors for the coefficients in an orthogonal linear regression, or perhaps someone has some R code? (I would accept a derivation or formula, but as a former teacher, I know how that can rankle.) I tried to imitate what's done in the code for lm() but went astray somewhere and got nonsense. (This type of modeling goes by several names: total least squares, errors in variables, orthogonal distance regression (ODR), depending on where you are coming from.) I have found ODRpack, but I haven't yet plowed through the Fortran to see if what I need is there; I'm working on it.... Thanks! David L. Reiner ?? Rho Trading 440 S. LaSalle St -- Suite 620 Chicago?? IL?? 60605 ?? 312-362-4963 (voice) 312-362-4941 (fax) ??
standard errors for orthogonal linear regression
2 messages · davidr@rhotrading.com, Roger Koenker
Wayne Fuller's Measurement Error Models is a good reference. url: www.econ.uiuc.edu/~roger Roger Koenker email rkoenker at uiuc.edu Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820
On Apr 28, 2005, at 1:19 PM, <davidr at rhotrading.com> wrote:
Could someone please help me by giving me a reference to how one computes standard errors for the coefficients in an orthogonal linear regression, or perhaps someone has some R code? (I would accept a derivation or formula, but as a former teacher, I know how that can rankle.) I tried to imitate what's done in the code for lm() but went astray somewhere and got nonsense. (This type of modeling goes by several names: total least squares, errors in variables, orthogonal distance regression (ODR), depending on where you are coming from.) I have found ODRpack, but I haven't yet plowed through the Fortran to see if what I need is there; I'm working on it.... Thanks! David L. Reiner ?? Rho Trading 440 S. LaSalle St -- Suite 620 Chicago?? IL?? 60605 ?? 312-362-4963 (voice) 312-362-4941 (fax) ??
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