Standard Error of the Estimate

David M. Lane

Prerequisites

Measures of Variability, Introduction to Simple Linear Regression, Partitioning Sums of Squares

Learning Objectives
1. Make judgments about the size of the standard error of the estimate from a scatterplot
2. Compute the standard error of the estimate based on errors of prediction
3. Compute the standard error using Pearson's correlation
4. Estimate the standard error of the estimate based on a sample

The standard error of the estimate is a measure of the accuracy of predictions. Recall that the regression line is the line that minimizes the sum of squared deviations of prediction (also called the sum of squares error). The standard error of the estimate is closely related to this quantity and is defined below:

where sest is the standard error of the estimate, Y is an actual score, Y' is a predicted score, and N is the number of pairs of scores. The numerator is the sum of squared differences between the actual scores and the predicted scores. Assume the data in Table 1 are the data from a population of five X-Y pairs.

Table 1. Example data.
 X Y Y' Y-Y' (Y-Y')2 1.00 2.00 3.00 4.00 5.00 1.00 2.00 1.30 3.75 2.25 1.210 1.635 2.060 2.485 2.910 -0.210 0.365 -0.760 1.265 -0.660 0.044 0.133 0.578 1.600 0.436 Sum 15.00 10.30 10.30 0.000 2.791

The last column shows that the sum of the squared errors of prediction is 2.791. Therefore, the standard error of the estimate is

There is a version of the formula for the standard error in terms of Pearson's correlation:

where ρ is the population value of Pearson's correlation and SSY is

For the data in Table 1, my = 10.30, SSY = 4.597 and ρ = 0.6268. Therefore,

which is the same value computed previously.

Similar formulas are used when the standard error of the estimate is computed from a sample rather than a population. The only difference is that the denominator is N-2 rather than N. The reason N-2 rather than N-1 is used is that two parameters (the slope and the intercept) were estimated in order to estimate the sum of squares. Formulas comparable to the ones for the population are shown below.