Extract standard errors from glm [duplicate]

Question

I did a glm and I just want to extract the standard errors of each coefficient. I saw on the internet the function se.coef() but it doesn't work, it returns "Error: could not find function "se.coef"".

Prune

Might help to put up some data and example code. – Trooper

Answer 1

The information you're after is stored in the coefficients object returned by summary(). You can extract it thusly: summary(glm.D93)$coefficients[, 2]

#Example from ?glm
counts <- c(18,17,15,20,10,20,25,13,12)
outcome <- gl(3,1,9)
treatment <- gl(3,3)
print(d.AD <- data.frame(treatment, outcome, counts))
glm.D93 <- glm(counts ~ outcome + treatment, family=poisson())

#coefficients has the data of interest
> summary(glm.D93)$coefficients
                 Estimate Std. Error       z value     Pr(>|z|)
(Intercept)  3.044522e+00  0.1708987  1.781478e+01 5.426767e-71
outcome2    -4.542553e-01  0.2021708 -2.246889e+00 2.464711e-02
outcome3    -2.929871e-01  0.1927423 -1.520097e+00 1.284865e-01
treatment2   1.337909e-15  0.2000000  6.689547e-15 1.000000e+00
treatment3   1.421085e-15  0.2000000  7.105427e-15 1.000000e+00

#So extract the second column
> summary(glm.D93)$coefficients[, 2]
(Intercept)    outcome2    outcome3  treatment2  treatment3 
  0.1708987   0.2021708   0.1927423   0.2000000   0.2000000 

Take a look at names(summary(glm.D93)) for a quick review of everything that is returned. More details can be found by checking out summary.glm if you want to see the specific calculations that are going on, though that level of detail probably is not needed every time, unless you <3 statistics.

Overindulge

Are the standard errors stored within the glm.D93 object? I couldn't eyeball it using str(). Or does summary() explicitly calculate the errors? – Allin

@Allin - AFAIK they are calculated directly by summary.glm. If you type the function into your console sans () and then scroll down about 25 lines, you'll see where it's calculated. – Overindulge

Answer 2

Another way:

sqrt(diag(vcov(glm.D93)))

Schechter

This is beautiful - pure and simple. – Snowshed

Answer 3

se.coef() actually does work. But it's not in the base package: it's in the {arm} package: http://www.inside-r.org/packages/cran/arm/docs/se.ranef

Matri