@cbs.dk

09-19-2011, 03:21 AM

Hello,

I am trying to compute standard errors for regression coefficients. After studing IMSL library I came up with the following way:

CALL RLSE(Y,X,b,INTCEP=0)

Then

INTCEP=1

CALL RGIVN (XY,IIND,INDIND,IDEP,INDDEP,b,R=R,DFE=DFE,SCPE=SCP E)

Then

SSE = SCPE(1,1)

CALL RSTAT (IRBEF,b(:,1),R,DFE,SSE,AOV,SQSS,COEF,COVB)

Matrix X contains an intercept, so I had to notify the subroutine with INTCEP=0. Matrix XY contains X (without intercept, as RGIVN would give a mistake with INTCEP=0) and column of dependent variable Y. All the indicators IIND,INDIND,IDEP,INDDEP are set as in the explanation for the routine. The problem is that the resulting coefficients "b" from RGIVN are different from those produced by RLSE. Then applying RSTAT is meaningless.

My question would be: Can I expect the same coefficients from both RLSE and RGIVN? And what is the best way to compute standard errors if the above method is not good enough?

I am trying to compute standard errors for regression coefficients. After studing IMSL library I came up with the following way:

CALL RLSE(Y,X,b,INTCEP=0)

Then

INTCEP=1

CALL RGIVN (XY,IIND,INDIND,IDEP,INDDEP,b,R=R,DFE=DFE,SCPE=SCP E)

Then

SSE = SCPE(1,1)

CALL RSTAT (IRBEF,b(:,1),R,DFE,SSE,AOV,SQSS,COEF,COVB)

Matrix X contains an intercept, so I had to notify the subroutine with INTCEP=0. Matrix XY contains X (without intercept, as RGIVN would give a mistake with INTCEP=0) and column of dependent variable Y. All the indicators IIND,INDIND,IDEP,INDDEP are set as in the explanation for the routine. The problem is that the resulting coefficients "b" from RGIVN are different from those produced by RLSE. Then applying RSTAT is meaningless.

My question would be: Can I expect the same coefficients from both RLSE and RGIVN? And what is the best way to compute standard errors if the above method is not good enough?