[R] matrix with standard errors of lm model

[David Winsemius]

On Aug 8, 2013, at 10:54 AM, Bert Gunter wrote:

> Perhaps
> 
> ?vcov
> 
> is what you are looking for.
> 
> -- Bert
> 
> On Thu, Aug 8, 2013 at 10:37 AM, iza.ch1 <iza.ch1 at op.pl> wrote:
>> Hi
>> 
>> Can someone give me a hint on how to create a matrix with standard errors from lm model? I have already managed to get the matrix with coefficients:
>> 
>> coef<-as.data.frame(sapply(seq_len(ncol(es.w)),function( i) {x1<- summary(lm(es.w[,i]~es.median[,i]));x1$coef[,1]}))
>> 
>> but I can't get the one like this for standard errors. I do regression for each column.
>> 

It's a bit of a "feature" that coef(summary(lm(...))) returns a 4 column matrix of coefficients, standard errors, t-ratios and p-values while coef(lm(...)) just returns the estimated coefficients.

?lm
?summary.lm

The third column of the coef(summary(....)) result should be == diag(vcov(lm(...)).

-- 
David Winsemius
Alameda, CA, USA