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