David STADELMANN
2005-Dec-18 16:32 UTC
[R] GLM Logit and coefficient testing (linear combination)
Hi, I am running glm logit regressions with R and I would like to test a linear combination of coefficients (H0: beta1=beta2 against H1: beta1<>beta2). Is there a package for such a test or how can I perform it otherwise (perhaps with logLik() ???)? Additionally I was wondering if there was no routine to calculate pseudo R2s for logit regressions. Currently I am calculating the pseudo R2 by comparing the maximum value of the log-Likelihood-function of the fitted model with the maximum log-likelihood-function of a model containing only a constant. Any better ideas? Thanks a lot for your help. David ###################################### David Stadelmann Seminar f??r Finanzwissenschaft Universit?? de Fribourg Bureau F410 Bd de P??rolles 90 CH-1700 Fribourg SCHWEIZ Tel: +41 (026) 300 93 82 Fax: +41 (026) 300 96 78 Tel (priv): +41 (044) 586 78 99 Mob (priv): +41 (076) 542 33 48 Email: david.stadelmann at unifr.ch Internet: http://www.unifr.ch/finwiss Internet (priv): http://david.stadelmann-online.com
roger koenker
2005-Dec-18 16:38 UTC
[R] GLM Logit and coefficient testing (linear combination)
see ?anova.glm On Dec 18, 2005, at 10:32 AM, David STADELMANN wrote:> Hi, > > I am running glm logit regressions with R and I would like to test a > linear combination of coefficients (H0: beta1=beta2 against H1: > beta1<>beta2). Is there a package for such a test or how can I perform > it otherwise (perhaps with logLik() ???)? > > Additionally I was wondering if there was no routine to calculate > pseudo > R2s for logit regressions. Currently I am calculating the pseudo R2 by > comparing the maximum value of the log-Likelihood-function of the > fitted > model with the maximum log-likelihood-function of a model containing > only a constant. Any better ideas? > > Thanks a lot for your help. > David > > ###################################### > David Stadelmann > Seminar f??r Finanzwissenschaft > Universit?? de Fribourg > Bureau F410 > Bd de P??rolles 90 > CH-1700 Fribourg > SCHWEIZ > > Tel: +41 (026) 300 93 82 > Fax: +41 (026) 300 96 78 > Tel (priv): +41 (044) 586 78 99 > Mob (priv): +41 (076) 542 33 48 > Email: david.stadelmann at unifr.ch > Internet: http://www.unifr.ch/finwiss > Internet (priv): http://david.stadelmann-online.com > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting- > guide.html
Dear David, The linear.hypothesis() function in the car package will compute a Wald test for this hypothesis, but a LR test is probably a better idea for a logit model. You can do that by fitting the restricted model and comparing that with the unrestricted model via anova(). I hope this helps, John -------------------------------- John Fox Department of Sociology McMaster University Hamilton, Ontario Canada L8S 4M4 905-525-9140x23604 http://socserv.mcmaster.ca/jfox --------------------------------> -----Original Message----- > From: r-help-bounces at stat.math.ethz.ch > [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of David > STADELMANN > Sent: Sunday, December 18, 2005 11:32 AM > To: r-help at stat.math.ethz.ch > Subject: [R] GLM Logit and coefficient testing (linear combination) > > Hi, > > I am running glm logit regressions with R and I would like to > test a linear combination of coefficients (H0: beta1=beta2 against H1: > beta1<>beta2). Is there a package for such a test or how can > I perform it otherwise (perhaps with logLik() ???)? > > Additionally I was wondering if there was no routine to > calculate pseudo R2s for logit regressions. Currently I am > calculating the pseudo R2 by comparing the maximum value of > the log-Likelihood-function of the fitted model with the > maximum log-likelihood-function of a model containing only a > constant. Any better ideas? > > Thanks a lot for your help. > David > > ###################################### > David Stadelmann > Seminar f??r Finanzwissenschaft > Universit?? de Fribourg > Bureau F410 > Bd de P??rolles 90 > CH-1700 Fribourg > SCHWEIZ > > Tel: +41 (026) 300 93 82 > Fax: +41 (026) 300 96 78 > Tel (priv): +41 (044) 586 78 99 > Mob (priv): +41 (076) 542 33 48 > Email: david.stadelmann at unifr.ch > Internet: http://www.unifr.ch/finwiss > Internet (priv): http://david.stadelmann-online.com > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html
Henric Nilsson
2005-Dec-19 13:33 UTC
[R] GLM Logit and coefficient testing (linear combination)
On S??, 2005-12-18, 17:32, David STADELMANN skrev:> Hi, > > I am running glm logit regressions with R and I would like to test a > linear combination of coefficients (H0: beta1=beta2 against H1: > beta1<>beta2). Is there a package for such a test or how can I perform > it otherwise (perhaps with logLik() ???)? > > Additionally I was wondering if there was no routine to calculate pseudo > R2s for logit regressions. Currently I am calculating the pseudo R2 by > comparing the maximum value of the log-Likelihood-function of the fitted > model with the maximum log-likelihood-function of a model containing > only a constant. Any better ideas?The subject of R^2 in logistic regression was brought up some time ago. See the postings http://finzi.psych.upenn.edu/R/Rhelp02a/archive/54939.html http://finzi.psych.upenn.edu/R/Rhelp02a/archive/54940.html You could easily have found these, and couple of other ones, all by yourself just by issuing an `RSiteSearch("R^2 logistic")'. HTH Henric