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Ikerne del Valle

2009-May-19 15:17 UTC

[R] nlrwr package. Error when fitting the optimal Box-Cox transformation with two variables

Dear all:

	I'm trying to fit the optimal Box-Cox 
transformation related to nls (see the code 
below) for the demand of money data in Green (3th 
Edition) but in the last step R gives the next 
error message.
	Error en 
`[.data.frame`(eval(object$data), , 
as.character(formula(object)[[2]])[2]) :
   undefined columns selected.
	?Any idea to solve the problem?
	Thanks in advance,


library(nlrwr)
r<-c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.28,11.77,13.42,11.02,8.50,8.80,7.69)
M<-c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.10,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.70,2563.60)
Y<-c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277.70,3492.00,3573.50)
money<-data.frame(r,M,Y)
attach(money)
ols1<-lm(log(M)~log(r)+log(Y))
output1<-summary(ols1)
coef1<-ols1$coefficients
a1<-coef1[[1]]
b11<-coef1[[2]]
b21<-coef1[[3]]
money.m1<-nls(log(M)~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
summary(money.m1)
money.m2<-boxcox(money.m1)



	Prof. Ikerne del Valle Erkiaga
		Department of Applied Economics V
		Faculty of Economic and Business Sciences
		University of the Basque Country
		Avda. Lehendakari Agirre, N? 83
		48015 Bilbao (Bizkaia) Spain

F.Tusell

2009-May-20 08:33 UTC

head link

[R] nlrwr package. Error when fitting the optimal Box-Cox transformation with two variables

El mar, 19-05-2009 a las 17:17 +0200, Ikerne del Valle
escribi?:> 
> 	Dear all:
> 
> 	I'm trying to fit the optimal Box-Cox 
> transformation related to nls (see the code 
> below) for the demand of money data in Green (3th 
> Edition) but in the last step R gives the next 
> error message.
> 	Error en 
> `[.data.frame`(eval(object$data), , 
> as.character(formula(object)[[2]])[2]) :
>    undefined columns selected.
> 	?Any idea to solve the problem?
> 	Thanks in advance,
> 
> 
> library(nlrwr)
>
r<-c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.28,11.77,13.42,11.02,8.50,8.80,7.69)
>
M<-c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.10,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.70,2563.60)
>
Y<-c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277.70,3492.00,3573.50)
> money<-data.frame(r,M,Y)
> attach(money)
> ols1<-lm(log(M)~log(r)+log(Y))
> output1<-summary(ols1)
> coef1<-ols1$coefficients
> a1<-coef1[[1]]
> b11<-coef1[[2]]
> b21<-coef1[[3]]
>
money.m1<-nls(log(M)~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
> summary(money.m1)
> money.m2<-boxcox(money.m1)
> 
> 
> 
> 	Prof. Ikerne del Valle Erkiaga
> 		Department of Applied Economics V
> 		Faculty of Economic and Business Sciences
> 		University of the Basque Country
> 		Avda. Lehendakari Agirre, N? 83
> 		48015 Bilbao (Bizkaia) Spain
> 
     Ikerne,

     Inside boxcox.nls, the variable "log(M)" is searched in dataframe
     money and not found. Indeed, it is a little redundant to take logs
     and then search a Box-Cox transformation --which gives the log
     when lambda is zero. 

     If you really want to do that, you might define a new variable
     "logM" and include that in your money dataframe, then rewrite
     the nls() call as:

     money.m1 <- nls(logM ~ a + b ... etc.

     Best, ft.

-- 
Fernando TUSELL                                e-mail:
Departamento de Econometr?a y Estad?stica       fernando.tusell at ehu.es 
Facultad de CC.EE. y Empresariales             Tel:   (+34)94.601.3733
Universidad del Pa?s Vasco                     Secr:  (+34)94.601.3740
Avenida Lendakari Aguirre, 83                  Fax:   (+34)94.601.3754
E-48015 BILBAO  (Spain)              http://www.et.bs.ehu.es/~etptupaf

Ikerne del Valle

2009-May-21 10:29 UTC

head link

[R] How can I estimate a Box-Cox function with R?

Dear Fernando and all:

	Thanks for your help. Now works. This is 
a training example to learn how to estimate a 
Box-Cox (right and/or left side transformations) 
with R (as LIMDEP does) in order to compare these 
estimations with the ones derived by applying 
NLS, ones the dependent variable has been divided 
by its geometric mean (see below) as suggested by 
(Zarembka (1974) and Spitzer (1984). However the 
example of the demand of money seems not to work. 
Any idea to face the error messages or how to 
estimate a Box-Cox function with R?

	Best regards,
	Ikerne

library(nlrwr)
r<-c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.28,11.77,13.42,11.02,8.50,8.80,7.69)
Lr<-log(r)
M<-c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.10,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.70,2563.60)
LM<-log(M)
Y<-c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277.70,3492.00,3573.50)
LY<-log(Y)
gmM<-exp((1/20)*sum(LM))
GM<-M/gmM
Gr<-r/gmM
GY<-Y/gmM
money<-data.frame(r,M,Y,Lr,LM,LY,GM,Gr,GY)
attach(money)
ols1<-lm(GM~r+Y)
output1<-summary(ols1)
coef1<-ols1$coefficients
a1<-coef1[[1]]
b11<-coef1[[2]]
b21<-coef1[[3]]
ols2<-lm(GM~Gr+GY)
output2<-summary(ols2)
coef2<-ols2$coefficients
a2<-coef2[[1]]
b12<-coef2[[2]]
b22<-coef2[[3]]
money.m1<-nls(GM~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
money.m2<-nls(GM~a+b*Gr^g+c*GY^g,data=money,start=list(a=a2,b=b12,g=1,c=b22))


		Ikerne del Valle Erkiaga
		Department of Applied Economics V
		Faculty of Economic and Business Sciences
		University of the Basque Country
		Avda. Lehendakari Agirre, N? 83
		48015 Bilbao (Bizkaia) Spain

Greg Snow

2009-May-21 17:21 UTC

head link

[R] How can I estimate a Box-Cox function with R?

Have you looked at the boxcox function in the MASS package?  That may do what
you want.

-- 
Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow at imail.org
801.408.8111

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of Ikerne del Valle
> Sent: Thursday, May 21, 2009 4:29 AM
> To: fernando.tusell at ehu.es
> Cc: r-help at r-project.org
> Subject: [R] How can I estimate a Box-Cox function with R?
> 
> 
> 	Dear Fernando and all:
> 
> 	Thanks for your help. Now works. This is
> a training example to learn how to estimate a
> Box-Cox (right and/or left side transformations)
> with R (as LIMDEP does) in order to compare these
> estimations with the ones derived by applying
> NLS, ones the dependent variable has been divided
> by its geometric mean (see below) as suggested by
> (Zarembka (1974) and Spitzer (1984). However the
> example of the demand of money seems not to work.
> Any idea to face the error messages or how to
> estimate a Box-Cox function with R?
> 
> 	Best regards,
> 	Ikerne
> 
> library(nlrwr)
> r<-
> c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.2
> 8,11.77,13.42,11.02,8.50,8.80,7.69)
> Lr<-log(r)
> M<-
> c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.1
> 0,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.
> 70,2563.60)
> LM<-log(M)
> Y<-
> c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.
> 30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277
> .70,3492.00,3573.50)
> LY<-log(Y)
> gmM<-exp((1/20)*sum(LM))
> GM<-M/gmM
> Gr<-r/gmM
> GY<-Y/gmM
> money<-data.frame(r,M,Y,Lr,LM,LY,GM,Gr,GY)
> attach(money)
> ols1<-lm(GM~r+Y)
> output1<-summary(ols1)
> coef1<-ols1$coefficients
> a1<-coef1[[1]]
> b11<-coef1[[2]]
> b21<-coef1[[3]]
> ols2<-lm(GM~Gr+GY)
> output2<-summary(ols2)
> coef2<-ols2$coefficients
> a2<-coef2[[1]]
> b12<-coef2[[2]]
> b22<-coef2[[3]]
> money.m1<-
> nls(GM~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
> money.m2<-
> nls(GM~a+b*Gr^g+c*GY^g,data=money,start=list(a=a2,b=b12,g=1,c=b22))
> 
> 
> 		Ikerne del Valle Erkiaga
> 		Department of Applied Economics V
> 		Faculty of Economic and Business Sciences
> 		University of the Basque Country
> 		Avda. Lehendakari Agirre, N? 83
> 		48015 Bilbao (Bizkaia) Spain
> 
> ______________________________________________
> 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.

Ikerne del Valle

2009-May-22 18:09 UTC

head link

[R] How can I estimate a Box-Cox function with R?

Thanks Gregory. I see that that with 
boxcox.lm() the optimal lambda is obtained and 
plotted against log-likelihood.

library(MASS)
boxcox(Volume ~ log(Height) + log(Girth), data = trees,
        lambda = seq(-0.25, 0.25, length = 10))

But has how can I see the fit of the same linear 
model with the optimal BoxCox transformation, the 
standard error for lambda etc.?

	Best. Ikerne.


>Have you looked at the boxcox function in the 
>MASS package?  That may do what you want.
>
>--
>Gregory (Greg) L. Snow Ph.D.
>Statistical Data Center
>Intermountain Healthcare
>greg.snow at imail.org
>801.408.8111
>
>
>>  -----Original Message-----
>>  From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
>>  project.org] On Behalf Of Ikerne del Valle
>>  Sent: Thursday, May 21, 2009 4:29 AM
>>  To: fernando.tusell at ehu.es
>  > Cc: r-help at r-project.org
>>  Subject: [R] How can I estimate a Box-Cox function with R?
>>
>>
>>	Dear Fernando and all:
>>
>>	Thanks for your help. Now works. This is
>>  a training example to learn how to estimate a
>>  Box-Cox (right and/or left side transformations)
>>  with R (as LIMDEP does) in order to compare these
>>  estimations with the ones derived by applying
>>  NLS, ones the dependent variable has been divided
>>  by its geometric mean (see below) as suggested by
>>  (Zarembka (1974) and Spitzer (1984). However the
>>  example of the demand of money seems not to work.
>>  Any idea to face the error messages or how to
>>  estimate a Box-Cox function with R?
>>
>>	Best regards,
>>	Ikerne
>>
>>  library(nlrwr)
>>  r<-
>> 
c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.2
>>  8,11.77,13.42,11.02,8.50,8.80,7.69)
>>  Lr<-log(r)
>>  M<-
>> 
c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.1
>> 
0,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.
>>  70,2563.60)
>>  LM<-log(M)
>>  Y<-
>> 
c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.
>> 
30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277
>>  .70,3492.00,3573.50)
>>  LY<-log(Y)
>>  gmM<-exp((1/20)*sum(LM))
>>  GM<-M/gmM
>>  Gr<-r/gmM
>>  GY<-Y/gmM
>>  money<-data.frame(r,M,Y,Lr,LM,LY,GM,Gr,GY)
>>  attach(money)
>>  ols1<-lm(GM~r+Y)
>>  output1<-summary(ols1)
>>  coef1<-ols1$coefficients
>>  a1<-coef1[[1]]
>>  b11<-coef1[[2]]
>>  b21<-coef1[[3]]
>>  ols2<-lm(GM~Gr+GY)
>>  output2<-summary(ols2)
>>  coef2<-ols2$coefficients
>>  a2<-coef2[[1]]
>>  b12<-coef2[[2]]
>>  b22<-coef2[[3]]
>>  money.m1<-
>>  nls(GM~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
>>  money.m2<-
>>  nls(GM~a+b*Gr^g+c*GY^g,data=money,start=list(a=a2,b=b12,g=1,c=b22))
>>
>>
>>		Ikerne del Valle Erkiaga
>>		Department of Applied Economics V
>>		Faculty of Economic and Business Sciences
>>		University of the Basque Country
>>		Avda. Lehendakari Agirre, N? 83
>>		48015 Bilbao (Bizkaia) Spain
>>
>>  ______________________________________________
>>  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.

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