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MathGroup Archive 2004

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Asymptotic SE

  • To: mathgroup at smc.vnet.net
  • Subject: [mg52521] Asymptotic SE
  • From: "Bruyndonckx P." <pbruynd at vub.ac.be>
  • Date: Tue, 30 Nov 2004 05:24:49 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

One of the output parameters from the regression packages is the asymptotic SE.  Up to now I have not found any definition 
of this parameter.  Is the asymptotic standard error the standard deviation on the estimated parameter ? And if this is 
not so, what is it and how do I get the standard deviation on the estimated parameter.

Also, the way the CI (Confidence interval) is defined is not explained.  I read somewhere it is a 95% level CI.  Is this 
true and how can I change the confidence level ?

Peter


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