On Sun, 29 Jan 2012, clarodina(a)lycos.com wrote:
> ols d1 const d2 and have the std error of d2
>
> what is the formula for calculating std error of d2? a manual
> calculating of std error does not match the one on gretl
It matches if you calculate correctly:
open data4-1.gdt
ols price const sqft
sx1 = $stderr[2]
matrix X = {const, sqft}
s2 = sum($uhat^2) / ($T - $ncoeff)
matrix V = s2 * inv(X'X)
sx2 = sqrt(V[2,2])
printf "standard error of x: built-in = %g, manual = %g\n",
sx1, sx2
Allin Cottrell
