Re: std error of estimate?

[Jason Stover]

I just committed a fix to the source repository. To fix your own local copy,
try this patch. Apply by cd'ing to the directory with the source
code, and run

patch -p1 < regression.patch

Then rebuild pspp.

--- pspp.0/src/math/linreg.c    2009-01-19 14:38:06.000000000 -0500
+++ pspp/src/math/linreg.c      2009-02-23 11:09:16.000000000 -0500
@@ -737,3 +737,9 @@
   design_matrix_destroy (cov);
 }
 
+double pspp_linreg_mse (const pspp_linreg_cache *c)
+{
+  assert (c != NULL);
+  return (c->sse / c->dfe);
+}
+
--- pspp.0/src/math/linreg.h    2009-01-19 14:38:06.000000000 -0500
+++ pspp/src/math/linreg.h      2009-02-23 11:09:20.000000000 -0500
@@ -222,4 +222,5 @@
   Regression using only the covariance matrix.
  */
 void pspp_linreg_with_cov (const struct covariance_matrix *, pspp_linreg_cache 
*);
+double pspp_linreg_mse (const pspp_linreg_cache *);
 #endif
--- pspp.0/tests/command/regression.sh  2009-01-19 14:38:06.000000000 -0500
+++ pspp/tests/command/regression.sh    2009-02-23 11:16:21.000000000 -0500
@@ -95,7 +95,7 @@
 #============#========#=================#==========================#
 #          R #R Square|Adjusted R Square|Std. Error of the Estimate#
 #========#===#========#=================#==========================#
-#        |.97#     .94|              .93|                       .33#
+#        |.97#     .94|              .93|                      1.34#
 #========#===#========#=================#==========================#
 2.2 REGRESSION.  ANOVA
 #===================#==============#==#===========#======#============#
--- pspp.0/tests/command/regression-qr.sh       2009-01-19 14:38:06.000000000 
-0500
+++ pspp/tests/command/regression-qr.sh 2009-02-23 11:11:15.000000000 -0500
@@ -1582,7 +1582,7 @@
 #============#========#=================#==========================#
 #          R #R Square|Adjusted R Square|Std. Error of the Estimate#
 #========#===#========#=================#==========================#
-#        |.05#     .00|              .00|                       .00#
+#        |.05#     .00|              .00|                      8.11#
 #========#===#========#=================#==========================#
 2.2 REGRESSION.  ANOVA
 #===================#==============#====#===========#=====#============#
--- pspp.0/src/language/stats/regression.q      2009-01-19 14:38:06.000000000 
-0500
+++ pspp/src/language/stats/regression.q        2009-02-23 11:10:07.000000000 
-0500
@@ -148,7 +148,7 @@
   assert (c != NULL);
   rsq = c->ssm / c->sst;
   adjrsq = 1.0 - (1.0 - rsq) * (c->n_obs - 1.0) / (c->n_obs - c->n_indeps);
-  std_error = sqrt ((c->n_indeps - 1.0) / (c->n_obs - 1.0));
+  std_error = sqrt (pspp_linreg_mse (c));
   t = tab_create (n_cols, n_rows, 0);
   tab_dim (t, tab_natural_dimensions);
   tab_box (t, TAL_2, TAL_2, -1, TAL_1, 0, 0, n_cols - 1, n_rows - 1);
@@ -281,7 +281,7 @@
   int n_cols = 7;
   int n_rows = 4;
   const double msm = c->ssm / c->dfm;
-  const double mse = c->sse / c->dfe;
+  const double mse = pspp_linreg_mse (c);
   const double F = msm / mse;
   const double pval = gsl_cdf_fdist_Q (F, c->dfm, c->dfe);
 

On Mon, Feb 23, 2009 at 02:30:20AM -0800, Erik Frebold wrote:
> When I do a linear regression analysis, the model summary always shows what 
> appear to be incorrect values for (overall) Std. Error of the Estimate, 
> regardless of the data set. It does show individual std. errors for the 
> constant and coefficient on X in "Coefficients" section of output and these 
> are correct, checked against R and SPSS. Am I missing something?  
> (probably... ;-) 
> 
> This is pspp 0.6.1 for 32bit i586, run on SuSE 10.3, installed from Dr. 
> Steuer's repository. 
> 
> example: 
> REGRESSION
>       /VARIABLES= x
>       /DEPENDENT=      y
>       /STATISTICS=COEFF R ANOVA.
> 
> (choose any x or y variable from any data I've tried)
> 
> Is this part of the regression procedure not complete yet?
> --
> Erik Frebold
> Vancouver, BC
> 
> 
> 
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