Standard Error of Regression

#1
Im currently working on a dissertation. After running an OLS regression I have a statistic called the standard error of the regression. I have analysed the standard error of the coefficients but I do not know what the difference between the standard error of regression and coefficient are.

Please help!!:)
 

hlsmith

Less is more. Stay pure. Stay poor.
#2
Yeah funny enough I came across this awhile ago and was confused until I realized it was the root square mean error (rmse). So average distance observations are away from the predicted value.
 

Dragan

Super Moderator
#3
hl: The RMSE is the average of the squared deviations of actual values of Y from the predicted values of Y. In short, the standard error of a regression model is not an unbiased average of the error terms.
 

ondansetron

TS Contributor
#4
You can think of it as the estimate for the standard deviation of the error term. If you multiply it by 2, you can use the empirical rule to make a statement that about 95% of the actual y values will fall within 2*s of their respective predicted values using the particular model (within 2*s implies above and below the average, hence the approximate interval). It gives you a bit of an idea about accuracy, if only in-sample. If you find that 2*s is too large, you may want to find a way to improve the model.