MathGroup Archive 2004

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Asymptotic SE


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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