[R] Est of SE of coefficients from lm() function

[Achim Zeileis]

On Fri, 24 Aug 2007, Arun Kumar Saha wrote:

> Dear all R users,
>
> Can anyone tell me how I can get estimate of SE of coefficients from, lm()
> function?

The vcov() function extracts the estimated covariance matrix:
  fm <- lm(...)
  vcov(fm)
Thus, you can get the ESE via
  sqrt(diag(vcov(fm)))

hth,
Z

> I tried following :
>
> x = 1:10
> lm(x[-1]~x[-10]-1)$coefficients
>
> Here I got the est. of coefficient, however I also want to get some
> "automated" way to get estimate of SE.
>
> Regards,
>
> 	[[alternative HTML version deleted]]
>
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