WanderingWizard
2010-Jul-04 21:46 UTC
[R] lm( y ~ A/x ) ... how do I extract the coefficients by factor?
When regressing by month, how do I get the coefficients out into a new data
set?
I'm looking for
[ month, a, b, c ]
from the Pastor-Stambaugh model I'm using which is:
r[i+1] = a + b * r[i] + c * v[i] + e
the model I'm using wants to create a new dataseries based on the
coefficient in each month. I'm doing a simple linear regression on DataSet,
and
> DataSet$ByMonth <- format(DataSet$d, "%Y-%m");
> fittedmodel <- lm(r1 ~ ByMonth[2:n-1] / (r + v), x[2:n-1,1:10] )
I've think I've done it, and I think I've got the results:
> summary(fittedmodel$coefficients)
Min. 1st Qu. Median Mean 3rd Qu. Max.
-2.896e-01 -6.624e-04 -4.051e-11 4.720e-02 2.748e-03 1.086e+00
but what am I to do with these results? fittedmodel$coefficients doesn't
know the month from the regression result. It looks like this
> fittedmodel
Call:
lm(formula = r1 ~ ByMonth[2:n - 1]/(r + v), data = x[2:n - 1, 1:10])
Coefficients:
(Intercept)
-8.833e-04
ByMonth[2:n - 1]2010-02
1.432e-03
ByMonth[2:n - 1]2010-03
-1.346e-03
ByMonth[2:n - 1]2010-04
1.933e-03
ByMonth[2:n - 1]2010-05
5.113e-03
ByMonth[2:n - 1]2010-06
3.020e-03
ByMonth[2:n - 1]2010-01:r
-2.896e-01
ByMonth[2:n - 1]2010-02:r
1.260e-01
ByMonth[2:n - 1]2010-03:r
-6.284e-03
ByMonth[2:n - 1]2010-04:r
1.086e+00
ByMonth[2:n - 1]2010-05:r
-1.566e-01
ByMonth[2:n - 1]2010-06:r
8.081e-02
ByMonth[2:n - 1]2010-01:v
-1.747e-10
ByMonth[2:n - 1]2010-02:v
-3.324e-10
ByMonth[2:n - 1]2010-03:v
9.430e-11
ByMonth[2:n - 1]2010-04:v
-1.571e-09
ByMonth[2:n - 1]2010-05:v
9.364e-11
ByMonth[2:n - 1]2010-06:v
-4.069e-10
----
Did I do what I think I did? It's great that R-project will split up all
those regressions for me, but I've had a hard time searching for examples of
any linear regressions grouped by factor. I'd like a data series with each
month and each regression result. Something more like this:
Month (Intercept) r v
2010-01 -8.83E-004 -2.90E-001 -1.75E-010
2010-02 1.43E-003 1.26E-001 -3.32E-010
2010-03 -1.35E-003 -6.28E-003 9.43E-011
2010-04 1.93E-003 1.09E+000 -1.57E-009
2010-05 5.11E-003 -1.57E-001 9.36E-011
2010-06 3.02E-003 8.08E-002 -4.07E-010
How do I translate that unwieldy factor-wise list of coefficients (from my
sample output in the middle) into a matrix or dataframe (like my table at
the end) that I can then work with and treat as a new data series?
--
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Bill.Venables at csiro.au
2010-Jul-04 22:48 UTC
[R] lm( y ~ A/x ) ... how do I extract the coefficients by factor?
It's a bit like gravy. You have to make it, it doesn't "just come" when you cook the joint. Here is a mock-up of your situation:> dat <- data.frame(ByMonth = gl(6, 10, labels = paste("2010-0", 1:6, sep="")),+ r1 = rnorm(60), v = rnorm(60), r = rnorm(60))> head(dat)ByMonth r1 v r 1 2010-01 -1.2328644 1.0877184 -1.36304660 2 2010-01 -0.6852108 -0.5373950 -0.05885205 3 2010-01 -0.5269571 -0.2035928 1.20186345 4 2010-01 1.1226140 -0.4533569 -0.35883730 5 2010-01 0.2229836 0.5185975 0.06541686 6 2010-01 0.7999289 0.5695903 0.67197424> ## looks OK. Now fit the regressions omiting a grand mean term > ## note especially the 'subset' argument, which omits the first record > ## as you seem to want to do > fm <- lm(r1 ~ ByMonth/(r+v) -1, dat, subset = -1) > summary(fm)$coefEstimate Std. Error t value Pr(>|t|) ByMonth2010-01 0.50509121 0.3319875 1.52141636 0.1358311 ByMonth2010-02 -0.00967993 0.2971797 -0.03257265 0.9741734 ByMonth2010-03 -0.12691181 0.3002052 -0.42275027 0.6746865 ByMonth2010-04 0.31516801 0.3034831 1.03850264 0.3051221 ByMonth2010-05 0.02638460 0.5182775 0.05090824 0.9596459 ByMonth2010-06 -0.16056032 0.3292923 -0.48759210 0.6284360 ByMonth2010-01:r -0.32589472 0.2967119 -1.09835423 0.2784582 ByMonth2010-02:r -0.03650704 0.2036778 -0.17923914 0.8586328 ByMonth2010-03:r 0.20627253 0.3605508 0.57210401 0.5703753 ByMonth2010-04:r 0.04537062 0.3257498 0.13928058 0.8899104 ByMonth2010-05:r -0.15926998 0.4748852 -0.33538628 0.7390438 ByMonth2010-06:r 0.11647989 0.3378386 0.34477966 0.7320225 ByMonth2010-01:v 1.11974211 0.6781761 1.65110814 0.1063569 ByMonth2010-02:v 0.35369142 0.2245097 1.57539503 0.1228511 ByMonth2010-03:v -0.01547968 0.3042272 -0.05088197 0.9596667 ByMonth2010-04:v 0.01473308 0.2993017 0.04922484 0.9609791 ByMonth2010-05:v -0.39752574 0.3303060 -1.20350755 0.2356831 ByMonth2010-06:v -0.29591044 0.3837625 -0.77107698 0.4450825> ## that't the meat, now to make the gravy: > B <- matrix(coef(fm), nrow = 6) > dimnames(B) <- list(levels(dat$ByMonth), c("Intercepts", "r", "v")) > BIntercepts r v 2010-01 0.50509121 -0.32589472 1.11974211 2010-02 -0.00967993 -0.03650704 0.35369142 2010-03 -0.12691181 0.20627253 -0.01547968 2010-04 0.31516801 0.04537062 0.01473308 2010-05 0.02638460 -0.15926998 -0.39752574 2010-06 -0.16056032 0.11647989 -0.29591044> ## pretty much as you wanted it.BTW, it would be courteous to give us your real name. Bill Venables. -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of WanderingWizard Sent: Monday, 5 July 2010 7:46 AM To: r-help at r-project.org Subject: [R] lm( y ~ A/x ) ... how do I extract the coefficients by factor? When regressing by month, how do I get the coefficients out into a new data set? I'm looking for [ month, a, b, c ] from the Pastor-Stambaugh model I'm using which is: r[i+1] = a + b * r[i] + c * v[i] + e the model I'm using wants to create a new dataseries based on the coefficient in each month. I'm doing a simple linear regression on DataSet, and> DataSet$ByMonth <- format(DataSet$d, "%Y-%m"); > fittedmodel <- lm(r1 ~ ByMonth[2:n-1] / (r + v), x[2:n-1,1:10] )I've think I've done it, and I think I've got the results:> summary(fittedmodel$coefficients)Min. 1st Qu. Median Mean 3rd Qu. Max. -2.896e-01 -6.624e-04 -4.051e-11 4.720e-02 2.748e-03 1.086e+00 but what am I to do with these results? fittedmodel$coefficients doesn't know the month from the regression result. It looks like this> fittedmodelCall: lm(formula = r1 ~ ByMonth[2:n - 1]/(r + v), data = x[2:n - 1, 1:10]) Coefficients: (Intercept) -8.833e-04 ByMonth[2:n - 1]2010-02 1.432e-03 ByMonth[2:n - 1]2010-03 -1.346e-03 ByMonth[2:n - 1]2010-04 1.933e-03 ByMonth[2:n - 1]2010-05 5.113e-03 ByMonth[2:n - 1]2010-06 3.020e-03 ByMonth[2:n - 1]2010-01:r -2.896e-01 ByMonth[2:n - 1]2010-02:r 1.260e-01 ByMonth[2:n - 1]2010-03:r -6.284e-03 ByMonth[2:n - 1]2010-04:r 1.086e+00 ByMonth[2:n - 1]2010-05:r -1.566e-01 ByMonth[2:n - 1]2010-06:r 8.081e-02 ByMonth[2:n - 1]2010-01:v -1.747e-10 ByMonth[2:n - 1]2010-02:v -3.324e-10 ByMonth[2:n - 1]2010-03:v 9.430e-11 ByMonth[2:n - 1]2010-04:v -1.571e-09 ByMonth[2:n - 1]2010-05:v 9.364e-11 ByMonth[2:n - 1]2010-06:v -4.069e-10 ---- Did I do what I think I did? It's great that R-project will split up all those regressions for me, but I've had a hard time searching for examples of any linear regressions grouped by factor. I'd like a data series with each month and each regression result. Something more like this: Month (Intercept) r v 2010-01 -8.83E-004 -2.90E-001 -1.75E-010 2010-02 1.43E-003 1.26E-001 -3.32E-010 2010-03 -1.35E-003 -6.28E-003 9.43E-011 2010-04 1.93E-003 1.09E+000 -1.57E-009 2010-05 5.11E-003 -1.57E-001 9.36E-011 2010-06 3.02E-003 8.08E-002 -4.07E-010 How do I translate that unwieldy factor-wise list of coefficients (from my sample output in the middle) into a matrix or dataframe (like my table at the end) that I can then work with and treat as a new data series? -- View this message in context: http://r.789695.n4.nabble.com/lm-y-A-x-how-do-I-extract-the-coefficients-by-factor-tp2277925p2277925.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.