Standard Error in linear regression

[pontshoD]

Hi David,

I have been watching your video's on youtube and I came across

I am struggling to understand how you got a standard error of 3.052 for the intercept coefficient and 0.011 for the slope coefficient by hand.

I took the sum of squared residuals e^2/ n-2 (51.89/8)=6.48625 and found the square root of that, which gave me 2.54.

what am i doing wrong?

 

[David Harper CFA FRM]

pontshoD

Here is the underlying XLS for that video https://www.dropbox.com/s/v4c08nnox8rr8kw/2_a_9_OLS_test_summary_0321.xls
.... this exhibit is on the second tab (T6_4), so you should be able to reconcile, thanks!

 

[pontshoD]

Thank you very much

 

[katewinslet]

How is VaR NOT subadditive? To calculate portfolio VaR, we would use Portfolio mean & Portfolio standard deviation (which includes effect of correlation between each individual security in the portfolio), thus when we calculate Portfolio VaR it would always be equal or less than the aggregate VaR of each individual security in the portfolio, which satisfies the subadditivity criteria

 

[ShaktiRathore]

go to the link
http://forum.bionicturtle.com/threads/var-not-subadditive-coherent-risk-measure.7117/#post-25487

thanks

 

[Linsey71]

Nice info. I will read this book and thanks for sharing.

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