R help - Aug 2013 - model syntax processed --- probably common

dear R experts---I was programming a fama-macbeth panel regression (a
fama-macbeth regression is essentially T cross-sectional regressions, with
statistics then obtained from the time-series of coefficients), partly
because I wanted faster speed than plm, partly because I wanted some
additional features.

my function starts as

fama.macbeth <- function( formula, din ) {
   names <- terms( formula )
  ## omitted : I want an immediate check that the formula refers to
existing variables in the data frame with English error messages
   monthly.regressions <- by( din, as.factor(din$month), function(dd)
coef(lm(model.frame( formula, data=dd )))
   as.m <- do.call("rbind", monthly.regressions)
   colMeans(as.m)  ## or something like this.
}

say my data frame mydata has columns named month, r, laggedx and ... .  I
can call this function

   fama.macbeth( r ~ laggedx, din=mydata )

but it fails if I want to compute my x variables.  for example,

   myx <- d[,"laggedx"]
   fama.macbeth( r ~ myx)

I also wish that the computed myx still remembered that it was really
laggedx.  it's almost as if I should not create a vector myx but a data
frame myx to avoid losing the column name.  I wonder why such vectors don't
keep a name attribute of some sort.

there is probably an "R way" of doing this.  is there?

/iaw

----
Ivo Welch (ivo.welch@gmail.com)

	[[alternative HTML version deleted]]

Ivo:

I may not get your question, but you seem to be confusing the name of
an object, which is essentially a pointer into memory and a language
construct -- (correction requested if I have misstated! --  and the
"names" attribute of (some) objects. You can, of course, attach a
"lab" or (whatever) attribute to an object that gives it a label and
that will be carried around with it. But without special code (if it's
at all possible, even) the label will know nothing about the name
assigned to the object -- why should it?! i.e.
> y <- structure(1:3,lab = "y")
> y
[1] 1 2 3
attr(,"lab")
[1] "y"
> z <- y
> z
[1] 1 2 3
attr(,"lab")
[1] "y

Feel free to ignore without response if my comment is irrelevant.

Cheers,
Bert


On Mon, Aug 19, 2013 at 9:45 AM, ivo welch <ivo.welch at
anderson.ucla.edu> wrote:
> dear R experts---I was programming a fama-macbeth panel regression (a
> fama-macbeth regression is essentially T cross-sectional regressions, with
> statistics then obtained from the time-series of coefficients), partly
> because I wanted faster speed than plm, partly because I wanted some
> additional features.
>
> my function starts as
>
> fama.macbeth <- function( formula, din ) {
>    names <- terms( formula )
>   ## omitted : I want an immediate check that the formula refers to
> existing variables in the data frame with English error messages
>    monthly.regressions <- by( din, as.factor(din$month), function(dd)
> coef(lm(model.frame( formula, data=dd )))
>    as.m <- do.call("rbind", monthly.regressions)
>    colMeans(as.m)  ## or something like this.
> }
>
> say my data frame mydata has columns named month, r, laggedx and ... .  I
> can call this function
>
>    fama.macbeth( r ~ laggedx, din=mydata )
>
> but it fails if I want to compute my x variables.  for example,
>
>    myx <- d[,"laggedx"]
>    fama.macbeth( r ~ myx)
>
> I also wish that the computed myx still remembered that it was really
> laggedx.  it's almost as if I should not create a vector myx but a data
> frame myx to avoid losing the column name.  I wonder why such vectors
don't
> keep a name attribute of some sort.
>
> there is probably an "R way" of doing this.  is there?
>
> /iaw
>
> ----
> Ivo Welch (ivo.welch at gmail.com)
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at 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.


-- 

Bert Gunter
Genentech Nonclinical Biostatistics

Internal Contact Info:
Phone: 467-7374
Website:
http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm

On Aug 19, 2013, at 9:45 AM, ivo welch wrote:
> dear R experts---I was programming a fama-macbeth panel regression (a
> fama-macbeth regression is essentially T cross-sectional regressions, with
> statistics then obtained from the time-series of coefficients), partly
> because I wanted faster speed than plm, partly because I wanted some
> additional features.
> 
> my function starts as
> 
> fama.macbeth <- function( formula, din ) {
>   names <- terms( formula )
>  ## omitted : I want an immediate check that the formula refers to
> existing variables in the data frame with English error messages
>    
Look the structure of a terms result from a formula argument with str():

 fama.macbeth <- function( formula, din ) {
   fnames <- terms( formula ) ; str(fnames)
 }
> fama.macbeth( x ~ y, data.frame(x=rnorm(10), y=rnorm(10) ) )
Classes 'terms', 'formula' length 3 x ~ y
  ..- attr(*, "variables")= language list(x, y)
  ..- attr(*, "factors")= int [1:2, 1] 0 1
  .. ..- attr(*, "dimnames")=List of 2
  .. .. ..$ : chr [1:2] "x" "y"
  .. .. ..$ : chr "y"
  ..- attr(*, "term.labels")= chr "y"
  ..- attr(*, "order")= int 1
  ..- attr(*, "intercept")= int 1
  ..- attr(*, "response")= int 1
  ..- attr(*, ".Environment")=<environment: R_GlobalEnv> 

Then extract the dimnames from the "factors" attribute to compare to
the names in hte data-object:
> fama.macbeth <- function( formula, din ) {
  fnames <- terms( formula ) ;  dnames <- names( din)
  dimnames(attr(fnames, "factors"))[[1]] %in%  dnames
}
#[1] TRUE TRUE


I couldn't tell if this was the main thrust of you question. It seems to
meander a bit.

-- 
David.
> monthly.regressions <- by( din, as.factor(din$month), function(dd)
> coef(lm(model.frame( formula, data=dd )))
>   as.m <- do.call("rbind", monthly.regressions)
>   colMeans(as.m)  ## or something like this.
> }
> say my data frame mydata has columns named month, r, laggedx and ... .  I
> can call this function
> 
>   fama.macbeth( r ~ laggedx, din=mydata )
> 
> but it fails
What fails?

> if I want to compute my x variables.  for example,
> 
>   myx <- d[,"laggedx"]
>   fama.macbeth( r ~ myx)
> 
> I also wish that the computed myx still remembered that it was really
> laggedx.  it's almost as if I should not create a vector myx but a data
> frame myx to avoid losing the column name.
I wouldn't say "almost"... rather that is exactly what you should
do. R regression methods almost always work better when formulas are interpreted
in the environment of the data argument.
>  I wonder why such vectors don't
> keep a name attribute of some sort.
> 
> there is probably an "R way" of doing this.  is there?
> 
> /iaw
> 
> ----
> Ivo Welch (ivo.welch at gmail.com)
> 
> 	[[alternative HTML version deleted]]
Still posting HTML?
> 
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
And do explain what the goal is.

-- 

David Winsemius
Alameda, CA, USA