Question
What is the relationship between the standard error of the regression (S) and the standard errors of the coefficients?
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Answer (118)
The standard error of the regression (S) is an estimate of the standard deviation of the errors. It's related to the standard errors of the coefficients because a larger S (indicating greater error variance) will generally lead to larger standard errors for the coefficients. S is calculated as sqrt(RSS / (n - p)), where n is the number of observations and p is the number of parameters (including the intercept).