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sdx
2011 Aug 01
3
formula used by R to compute the t-values in a linear regression
Hello,
I was wondering if someone knows the formula used by the function lm to compute the t-values.
I am trying to implement a linear regression myself. Assuming that I have K variables, and N observations, the formula I am using is:
For the k-th variable, t-value= b_k/sigma_k
With b_k is the coefficient for the k-th variable, and sigma_k =(t(x) x )^(-1) _kk is its standard deviation.