Standard error of OLS estimates with error in measured values

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Sat, 01/27/2018 - 01:59 pm

This is not strictly Igor pro related, but I thought other researchers can help.

For ordinary least squares, say you have the model Y=XB+e, where B is the vector of parameters to be estimated. In this case the standard error is sqrt(diag(σ2(X′X)^−1)), where σ2=∑(Y−Xβ^)2/(n−2).

What happens to this standard error when there is a variance in the measured values of Y, say dY ?
Original comment deleted. I misinterpreted your question to refer to Orthogonal Distance Regression.

January 27, 2018 at 03:20 pm - Permalink