Obtain standard errors of regression coefficients for an “mlm” object returned by `lm()`

Question

I\'d like to run 10 regressions against the same regressor, then pull all the standard errors without using a loop.

depVars <- as.matrix(         


        

Answer 1

If you put your data in long format it's very easy to get a bunch of regression results using lmList from the nlme or lme4 packages. The output is a list of regression results and the summary can give you a matrix of coefficients, just like you wanted.

library(lme4)

m <- lmList( y ~ x | group, data = dat)
summary(m)$coefficients

Those coefficients are in a simple 3 dimensional array so the standard errors are at [,2,2].