GLM_ERRORS - GLM Parameters' Standard Errors

Returns an array of cells for the estimated error/standard deviation of the model's parameters.

Syntax

GLM_ERRORS (X, Betas, Phi, Lvk)

X

is the independent variables data matrix, so each column represents one variable.

Betas

are the coefficients of the explanatory variables (a one-dimensional array of cells (e.g., rows or columns)).

Phi

is the GLM dispersion paramter. Phi is only meaningful for Binomial (1/batch or trial size) and Gaussian (variance).

Value	Phi
Gaussian	Variance.
Poisson	1.0.
Binomial	Reciprocal of the batch/trial size).

Lvk

is the link function that describes how the mean depends on the linear predictor (1 = Identity (default), 2 = Log, 3 = Logit, 4 = Probit, 5 = Log-Log).

Value	Lvk
1	Identity (Residuals ~ Normal distribution) (default).
2	Log (Residuals ~ Poisson distribution).
3	Logit (Residuals ~ Binomial distribution).
4	Probit (Residuals ~ Binomial distribution).
5	Complementary log-log (Residuals ~ Binomial distribution).

Remarks

1. The underlying model is described here.
2. The betas must equal the number of explanatory variables (i.e., X) plus one (intercept).
3. For GLM with Poisson distribution, the value of the dispersion factor (Phi) must be either missing or equal to one.
4. For GLM with Binomial distribution, the dispersion factor (Phi) value must be a positive fraction (greater than zero and less than one).
5. For GLM with Gaussian distribution, the dispersion factor (Phi) value must be positive.

Files Examples

Related Links

• Wikipedia - Generalized linear model.

References

• Hamilton, J.D.; Time Series Analysis, Princeton University Press (1994), ISBN 0-691-04289-6.
• Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740.