All of the following are true regarding the standard error of a coefficient except which one?
A)A small standard error suggests that the estimated coefficient is likely to be close to the true value.
B)A large standard error suggests that the estimated coefficient is likely to be close to the true value.
C)The standard error reflects the fact that the estimated coefficients have random element.
D)The standard error of a coefficient measures how much the estimated coefficient is likely to change if another set of data is used to reestimate the regression.

Question

Quizplus · Accepted Answer

A large standard error suggests that the estimated coefficient is likely to be farther from the true value since it indicates a higher level of uncertainty, while a small standard error suggests a higher level of precision and thus a closer estimated coefficient to the true value. Option B, which states the opposite, is incorrect. The other options (A, C, and D) are all true statements about the standard error of a coefficient.

All of the Following Are True Regarding the Standard Error