Peter B. Mandeville
2007-Oct-29 17:30 UTC
[R] covariance matrix of the regression coefficients
Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and SYSTAT. How can it be calculated with R. Thank you very much. pbm Peter B. Mandeville cel: 444 860 3204 tel: 52 444 826 2346-49 ext 532 fax: 52 444 826 2350 P.D. Favor de confirmar la llegada de este correo. Gracias. [[alternative HTML version deleted]]
Peter B. Mandeville
2007-Oct-29 17:33 UTC
[R] covariance matrix of the regression coefficients
Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and SYSTAT. How can it be calculated with R. Thank you very much. pbm Peter B. Mandeville cel: 444 860 3204 tel: 52 444 826 2346-49 ext 532 fax: 52 444 826 2350 P.D. Favor de confirmar la llegada de este correo. Gracias. [[alternative HTML version deleted]]
Peter B. Mandeville
2007-Oct-29 18:02 UTC
[R] covariance matrix of the regression coefficients
Greetings, On page 273, Cohen, Cohen, West, and Aiken (Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences, Third Edition", state that the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and SYSTAT. How does one calculate the matrix in R. Thank you very much. pbmPeter B. Mandeville cel: 444 860 3204 tel: 52 444 826 2346-49 ext 532 fax: 52 444 826 2352 P.D. Favor de confirmar la llegada de este correo. Gracias. _________________________________________________________________ [[alternative HTML version deleted]]
?vcov You can use vcov(lm.obj) to extract the covariance matrix, where "lm.obj" is your fitted object from lm(). Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: rvaradhan at jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Peter B. Mandeville Sent: Monday, October 29, 2007 1:30 PM To: r-help at r-project.org Subject: [R] covariance matrix of the regression coefficients Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and SYSTAT. How can it be calculated with R. Thank you very much. pbm Peter B. Mandeville cel: 444 860 3204 tel: 52 444 826 2346-49 ext 532 fax: 52 444 826 2350 P.D. Favor de confirmar la llegada de este correo. Gracias. [[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.
Prof Brian Ripley
2007-Oct-29 18:15 UTC
[R] covariance matrix of the regression coefficients
See ?vcov . On Mon, 29 Oct 2007, Peter B. Mandeville wrote:> Greetings, > > > > Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation > Analysis for the Behavioral Sciences, Third Edition) on page 273 state the > covariance matrix of the regression coefficients is provided by standard > programs for multiple regression, including SAS, SPSS, and SYSTAT. How can > it be calculated with R. Thank you very much. > > > > pbm > > > > Peter B. Mandeville > > cel: 444 860 3204 > > tel: 52 444 826 2346-49 ext 532 > > fax: 52 444 826 2350 > > > > P.D. Favor de confirmar la llegada de este correo. Gracias. > > > > > [[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. >-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595
Peter B. Mandeville wrote:> Greetings, > > > > Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation > Analysis for the Behavioral Sciences, Third Edition) on page 273 state the > covariance matrix of the regression coefficients is provided by standard > programs for multiple regression, including SAS, SPSS, and SYSTAT. How can > it be calculated with R. Thank you very much. > > > > pbm > > >help.search("covariance") points you at vcov() soon enough.... -- O__ ---- Peter Dalgaard ?ster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
Dear Peter,
See ?vcov. You could have discovered this via
help.search("covariance").
I hope this helps,
John
On Mon, 29 Oct 2007 11:30:11 -0600
"Peter B. Mandeville" <mandevip at uaslp.mx>
wrote:> Greetings,
>
>
>
> Cohen, Cohen, West, and Aiken 2003 (Applied Multiple
> Regression-Correlation
> Analysis for the Behavioral Sciences, Third Edition) on page 273
> state the
> covariance matrix of the regression coefficients is provided by
> standard
> programs for multiple regression, including SAS, SPSS, and SYSTAT.
> How can
> it be calculated with R. Thank you very much.
>
>
>
> pbm
>
>
>
> Peter B. Mandeville
>
> cel: 444 860 3204
>
> tel: 52 444 826 2346-49 ext 532
>
> fax: 52 444 826 2350
>
>
>
> P.D. Favor de confirmar la llegada de este correo. Gracias.
>
>
>
>
> [[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.
--------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
http://socserv.mcmaster.ca/jfox/