R help - Apr 2003 - regression parms var-cov matrix

Win2k, R1.6.2.

I've been using Splus 6.1 and wanted to try the same 
regression analysis in R.  Using "names( blah.lm )" 
in R yields

 [1] "coefficients"  "residuals"     "effects"    
"rank"
 [5] "fitted.values" "assign"        "qr"         
"df.residual"
 [9] "xlevels"       "call"          "terms"      
"model"

In Splus, the same command yields

 [1] "coefficients"  "residuals"    
"fitted.values" "effects"
 [5] "R"             "rank"          "assign"     
"df.residual"
 [9] "contrasts"     "terms"         "call"

and blah.lm$R gives the variance-covariance matrix of the 
model parameters.  How do get the variance-covariance matrix out 
of R?  Apologies for such a simple question.

Much thanks in advance,
   david paul

Dear David,

vcov(blah.lm) will do the trick.

John

At 06:51 PM 4/23/2003 -0400, Paul, David  A wrote:
>Win2k, R1.6.2.
>
>I've been using Splus 6.1 and wanted to try the same
>regression analysis in R.  Using "names( blah.lm )"
>in R yields
>
>  [1] "coefficients"  "residuals"    
"effects"     "rank"
>  [5] "fitted.values" "assign"        "qr"    
"df.residual"
>  [9] "xlevels"       "call"          "terms" 
"model"
>
>In Splus, the same command yields
>
>  [1] "coefficients"  "residuals"    
"fitted.values" "effects"
>  [5] "R"             "rank"          "assign"
"df.residual"
>  [9] "contrasts"     "terms"         "call"
>
>and blah.lm$R gives the variance-covariance matrix of the
>model parameters.  How do get the variance-covariance matrix out
>of R?  Apologies for such a simple question.
>
>Much thanks in advance,
>    david paul
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://www.stat.math.ethz.ch/mailman/listinfo/r-help
-----------------------------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario, Canada L8S 4M4
email: jfox at mcmaster.ca
phone: 905-525-9140x23604
web: www.socsci.mcmaster.ca/jfox

>>>>> "DavidP" == Paul, David A <paulda at
BATTELLE.ORG>
>>>>>     on Wed, 23 Apr 2003 18:51:39 -0400 writes:
    DavidP> Win2k, R1.6.2.
    DavidP> I've been using Splus 6.1 and wanted to try the same 
    DavidP> regression analysis in R.  Using "names( blah.lm )" 
    DavidP> in R yields

    DavidP> [1] "coefficients"  "residuals"    
"effects"     "rank"
    DavidP> [5] "fitted.values" "assign"       
"qr"          "df.residual"
    DavidP> [9] "xlevels"       "call"         
"terms"       "model"

    DavidP> In Splus, the same command yields

    DavidP> [1] "coefficients"  "residuals"    
"fitted.values" "effects"
    DavidP> [5] "R"             "rank"         
"assign"        "df.residual"
    DavidP> [9] "contrasts"     "terms"        
"call"

    DavidP> and blah.lm$R gives the variance-covariance matrix of the 
    DavidP> model parameters.  How do get the variance-covariance matrix out 
    DavidP> of R?  Apologies for such a simple question.

The most recommended way is to use the generic function  vcov()
which has methods for many classes, included "lm".

A bit more low level, but still reliable approach is to do what
vcov.lm does:
    vcov.lm <- function (object, ...) 
    {
	so <- summary.lm(object, corr = FALSE)
	so$sigma^2 * so$cov.unscaled
    }

A much more low level (non-recommended) way would be to look at
<your lm object> $ qr  etc and replicate what summary.lm() is doing
for its $sigma and $cov.unscaled computations.

    DavidP> Much thanks in advance,

you're welcome!
Martin Maechler ETH Zurich

I would like to thank Drs. Ripley, Maechler, Murphy, and
Fox for their helpful advice to use vcov( ) to extract
the variance-covariance matrix of the estimated regression
parameters --

Sincerely,
  david paul