What is a standard error? (And how should we compute it?)

Jeffrey Wooldridge

Journal of Econometrics, 2023, vol. 237, issue 2

Abstract: I review the definition of a standard error from a frequentist perspective, including both exact analysis and asymptotic analysis. Using the linear model for illustration, I discuss the model-based, design-based, and sampling-based approaches to uncertainty in obtaining standard errors. The model-based approach is widely applicable and produces reasonable measures of estimator precision in many settings. In some situations, particularly in the context of clustering, the model-based approach can suffer from ambiguity, and can lead to standard errors that are systematically biased. A combination of the design-based and sampling-based approaches requires the researcher to think about the variation in key explanatory variables when computing standard errors, and it can even apply to cases where the entire population is observed.

Keywords: Standard error; Model-based approach; Design-based approach; Sampling-based approach; Clustering (search for similar items in EconPapers)
JEL-codes: C20 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407623002336
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002336

DOI: 10.1016/j.jeconom.2023.105517

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().