Standard Error of Forecast in Multiple Regression
Proof of a Useful Result
ResearchPublished 1970
Proof that the standard error of forecasting the dependent variable and the expected value of the dependent variable in a multiple regression reduce to very simple formulas when evaluated at the sample means of the independent variables. These simple formulas involve only knowledge of sample size and the standard error of estimate, the latter of which is typically printed out in computer regression routines. By using these results, one avoids the necessity of calculating the more complicated general formulas for the standard error, in those cases for which evaluation at the mean will suffice. Although the results are not surprising, the author has been unable to find a published proof.
Document Details
- Copyright: RAND Corporation
- Availability: Available
- Year: 1970
- Print Format: Paperback
- Paperback Pages: 9
- Paperback Price: $20.00
- Document Number: P-4365
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DeSalvo, Joseph S., Standard Error of Forecast in Multiple Regression: Proof of a Useful Result, RAND Corporation, P-4365, 1970. As of September 12, 2024: https://www.rand.org/pubs/papers/P4365.html
DeSalvo, Joseph S., Standard Error of Forecast in Multiple Regression: Proof of a Useful Result. Santa Monica, CA: RAND Corporation, 1970. https://www.rand.org/pubs/papers/P4365.html. Also available in print form.
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