The standard error of estimate may never assume a value larger than the true standard deviation of the Y distribution.

Question

Quizplus · Accepted Answer

The standard error of estimate (also known as the standard error of regression) is the standard deviation of the residuals (the differences between the observed values of Y and the predicted values of Y). Its value is typically smaller than the true standard deviation of the Y distribution because it takes into account the fact that some of the variation in Y is explained by the predictor variable(s) in the regression model. Therefore, the statement is true.

The Standard Error of Estimate May Never Assume a Value