[R] std.error of coefficients in lm

[Prof Brian Ripley]

> Date: Tue, 23 May 2000 16:21:55 +0200
> From: Nina Lieske <nina.lieske at planet-interkom.de>
> X-Accept-Language: de,en
> To: r-help at stat.math.ethz.ch
> Subject: [R] std.error of coefficients in lm
> 
> Dear All,
> sorry for bothering you with a simple (?) question.
> 
> Is it possible to save the std.error of the estimated coefficients
> obtained by the summary.lm function? Something analogous to coef( )?

The trick here is to remember (know) that summary returns something
that print.summary prints.  So

> example(lm)
> summary(lm.D9)

Call:
lm(formula = weight ~ group)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.0710 -0.4937  0.0685  0.2462  1.3690 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept)   5.0320     0.2202  22.850 9.55e-15
groupTrt     -0.3710     0.3114  -1.191    0.249
...
> names(.Last.value)
 [1] "call"          "terms"         "residuals"     "coefficients" 
 [5] "sigma"         "df"            "r.squared"     "adj.r.squared"
 [9] "fstatistic"    "cov.unscaled" 
> summary(lm.D9)$coeff
            Estimate Std. Error   t value     Pr(>|t|)
(Intercept)    5.032  0.2202177 22.850117 9.547918e-15
groupTrt      -0.371  0.3114349 -1.191260 2.490232e-01
> summary(lm.D9)$coeff[, "Std. Error"]
(Intercept)    groupTrt 
  0.2202177   0.3114349 

as required.

You could write a little function to do this.

More generally, the vcov function in the MASS package extracts
variance-covariance matrices, so try

library(MASS)
sqrt(diag(vcov(lm.D9)))
(Intercept)    groupTrt 
  0.2202177   0.3114349 

This works for lots of model classes, for example glm, nls, polr, multinom....

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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