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

A-Tier
Journal: Journal of Econometrics
Year: 2023
Volume: 237
Issue: 2

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:237:y:2023:i:2:s0304407623002336
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29