What is the standard error?

1 Answer
Geoff K.
Dec 7, 2016

Standard error is our estimate for the unknown parameter sigma (standard deviation).

Explanation:

The standard error is the square root of the variance estimate.
s.e.=sqrt(hat sigma^2). It is a measure of the average vertical distance one of our observations is from the calculated regression line. In this way, it estimates the unknown quantity sigma, which would be how far we'd expect any potential observation to be from the actual regression line (the line that we've obtained our least-squares estimate for).

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