Standard error estimation on OLS coefficients

[qqlearn123]

It would be great to add standard error information on linear regression coefficients.

Theoretically, it shouldn't be hard as there is closed form formula for it. But, not sure about the effort of implementation.

[YuhanLiin]

What are the formulae?

[qqlearn123]

https://lukesonnet.com/teaching/inference/200d_standard_errors.pdf

The formula is on Page 3.

[jim-rafferty]

I very much agree with this. Uncertainty estimates would be particularly useful for GLMs as well as OLS where (I think) the most common use is looking at the coefficients to determine how the variables affect the response.

Thanks for your efforts on this!