Standard Errors — standard_error • parameters

standard_error() attempts to return standard errors of model parameters.

Usage

standard_error(model, ...)

# Default S3 method
standard_error(
  model,
  effects = "fixed",
  component = "all",
  vcov = NULL,
  vcov_args = NULL,
  verbose = TRUE,
  ...
)

# S3 method for class 'factor'
standard_error(model, force = FALSE, verbose = TRUE, ...)

Arguments

model

A model.

...

Arguments passed to or from other methods.

effects

Should standard errors for fixed effects ("fixed"), random effects ("random"), or both ("all") be returned? Only applies to mixed models. May be abbreviated. When standard errors for random effects are requested, for each grouping factor a list of standard errors (per group level) for random intercepts and slopes is returned.

component

Model component for which standard errors should be shown. See the documentation for your object's class in model_parameters() or p_value() for further details.

vcov

Variance-covariance matrix used to compute uncertainty estimates (e.g., for robust standard errors). This argument accepts a covariance matrix, a function which returns a covariance matrix, or a string which identifies the function to be used to compute the covariance matrix.

A covariance matrix
A function which returns a covariance matrix (e.g., stats::vcov())
A string which indicates the kind of uncertainty estimates to return.
- Heteroskedasticity-consistent: "HC", "HC0", "HC1", "HC2", "HC3", "HC4", "HC4m", "HC5". See ?sandwich::vcovHC
- Cluster-robust: "CR", "CR0", "CR1", "CR1p", "CR1S", "CR2", "CR3". See ?clubSandwich::vcovCR
- Bootstrap: "BS", "xy", "residual", "wild", "mammen", "fractional", "jackknife", "norm", "webb". See ?sandwich::vcovBS
- Other sandwich package functions: "HAC", "PC", "CL", "OPG", "PL".

vcov_args

List of arguments to be passed to the function identified by the vcov argument. This function is typically supplied by the sandwich or clubSandwich packages. Please refer to their documentation (e.g., ?sandwich::vcovHAC) to see the list of available arguments. If no estimation type (argument type) is given, the default type for "HC" equals the default from the sandwich package; for type "CR", the default is set to "CR3".

verbose

Toggle warnings and messages.

force

Logical, if TRUE, factors are converted to numerical values to calculate the standard error, with the lowest level being the value 1 (unless the factor has numeric levels, which are converted to the corresponding numeric value). By default, NA is returned for factors or character vectors.

Value

A data frame with at least two columns: the parameter names and the standard errors. Depending on the model, may also include columns for model components etc.

Note

For Bayesian models (from rstanarm or brms), the standard error is the SD of the posterior samples.

Examples

model <- lm(Petal.Length ~ Sepal.Length * Species, data = iris)
standard_error(model)
#>                        Parameter        SE
#> 1                    (Intercept) 0.5310388
#> 2                   Sepal.Length 0.1058237
#> 3              Speciesversicolor 0.6836543
#> 4               Speciesvirginica 0.6578142
#> 5 Sepal.Length:Speciesversicolor 0.1281447
#> 6  Sepal.Length:Speciesvirginica 0.1209952

# robust standard errors
standard_error(model, vcov = "HC3")
#>                        Parameter         SE
#> 1                    (Intercept) 0.42486667
#> 2                   Sepal.Length 0.08504442
#> 3              Speciesversicolor 0.67252996
#> 4               Speciesvirginica 0.58942889
#> 5 Sepal.Length:Speciesversicolor 0.12045791
#> 6  Sepal.Length:Speciesvirginica 0.10558799

# cluster-robust standard errors
standard_error(model,
  vcov = "vcovCL",
  vcov_args = list(cluster = iris$Species)
)
#>                        Parameter           SE
#> 1                    (Intercept) 2.505042e-15
#> 2                   Sepal.Length 5.010641e-16
#> 3              Speciesversicolor 2.569665e-15
#> 4               Speciesvirginica 6.109570e-15
#> 5 Sepal.Length:Speciesversicolor 5.104241e-16
#> 6  Sepal.Length:Speciesvirginica 9.830228e-16