glm() will handle fractional logit with some tweaks. below is copied from
my blog in a python example. however, you should be able to see the R code
from it.
In [12]: # Address the same type of model with R by Pyper
In [13]: import pyper as pr
In [14]: r = pr.R(use_pandas = True)
In [15]: r.r_data = data
In [16]: # Indirect Estimation of Discrete Dependent Variable Models
In [17]: r('data <- rbind(cbind(r_data, y = 1, wt = r_data$LEV_LT3),
cbind(r_data, y = 0, wt = 1 - r_data$LEV_LT3))')
Out[17]: 'try({data <- rbind(cbind(r_data, y = 1, wt r_data$LEV_LT3),
cbind(r_data, y = 0, wt = 1 - r_data$LEV_LT3))})\n'
In [18]: r('mod <- glm(y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A,
weights = wt, subset = (wt > 0), data = data, family = binomial)')
Out[18]: 'try({mod <- glm(y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A,
weights = wt, subset = (wt > 0), data = data, family binomial)})\nWarning
message:\nIn eval(expr, envir, enclos) :
non-integer #successes in a binomial glm!\n'
In [19]: print r('summary(mod)')
try({summary(mod)})
Call:
glm(formula = y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A, family = binomial,
data = data, weights = wt, subset = (wt > 0))
Deviance Residuals:
Min 1Q Median 3Q Max
-1.0129 -0.4483 -0.3173 -0.1535 2.5379
Coefficients:
Estimate Std. Error z value Pr(>|z|)
(Intercept) -7.24979 0.56734 -12.779 < 2e-16 ***
COLLAT1 1.23715 0.26012 4.756 1.97e-06 ***
SIZE1 0.35901 0.03746 9.584 < 2e-16 ***
PROF2 -3.14313 0.73895 -4.254 2.10e-05 ***
LIQ -1.38249 0.35749 -3.867 0.00011 ***
IND3A 0.54658 0.14136 3.867 0.00011 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
(Dispersion parameter for binomial family taken to be 1)
Null deviance: 2692.0 on 5536 degrees of freedom
Residual deviance: 2456.4 on 5531 degrees of freedom
AIC: 1995.4
Number of Fisher Scoring iterations: 6
On Sun, Feb 3, 2013 at 11:17 AM, Rachael Garrett
<rachaeldgarrett@gmail.com>wrote:
> Hi,
>
> Does anyone know of a function in R that can handle a fractional variable
> as the dependent variable? The catch is that the function has to be
> inclusive of 0 and 1, which betareg() does not.
>
> It seems like GLM might be able to handle the fractional logit model, but
> I can't figure it out. How do you format GLM to do so?
>
> Best,
>
> Rachael
>
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help@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.
>
--
=============================WenSui Liu
Credit Risk Manager, 53 Bancorp
wensui.liu@53.com
513-295-4370
=============================
[[alternative HTML version deleted]]