R help - Jan 2012 - Is there a R command for testing the difference of two liear regressions?

Hi al,

I am looking for a R command to test the difference of two linear
regressoon betas.

Lets say I have data x1, x2...x(n＋1).
beta1 is obtained from regressing x1 to xn onto 1 to n.

beta2 is obtained from regressing x2 to x(n＋1) onto 1 to n.

Is there a way in R to test whether beta1 and beta2 are statistically
different?

Thanks a lot!

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I don't know what is available in R but a relevant paper that provides a
test is by

 Hotelling, H ( September, 1940 )

"The Selection of Variates For Use in Prediction With Some Comments On The
General Problem of Nuisance Parameters".

Annals of Mathematical Statistics, 11, 271-283.




On Thu, Jan 26, 2012 at 11:59 PM, Michael <comtech.usa@gmail.com> wrote:
> Hi al,
>
> I am looking for a R command to test the difference of two linear
> regressoon betas.
>
> Lets say I have data x1, x2...x(n＋1).
> beta1 is obtained from regressing x1 to xn onto 1 to n.
>
> beta2 is obtained from regressing x2 to x(n＋1) onto 1 to n.
>
> Is there a way in R to test whether beta1 and beta2 are statistically
> different?
>
> Thanks a lot!
>
>        [[alternative HTML version deleted]]
>
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>
	[[alternative HTML version deleted]]

It looks like you might be asking for the anova() on two models.

M1 <- lm(y ~ x1 + x2 + x3, data=something)
M2 <- lm(y ~         x2 + x3, data=something)
anova(M1, M2)

Please send a reproducible example to the list if more detail is needed.

Rich

On Thu, Jan 26, 2012 at 11:59 PM, Michael <comtech.usa@gmail.com> wrote:
> Hi al,
>
> I am looking for a R command to test the difference of two linear
> regressoon betas.
>
> Lets say I have data x1, x2...x(n＋1).
> beta1 is obtained from regressing x1 to xn onto 1 to n.
>
> beta2 is obtained from regressing x2 to x(n＋1) onto 1 to n.
>
> Is there a way in R to test whether beta1 and beta2 are statistically
> different?
>
> Thanks a lot!
>
>        [[alternative HTML version deleted]]
>
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
>
http://www.R-project.org/posting-guide.html<http://www.r-project.org/posting-guide.html>
> and provide commented, minimal, self-contained, reproducible code.
>
>
	[[alternative HTML version deleted]]