Re: [R] na.action and simultaneous regressions

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Wed 03 Jan 2007 - 22:21:01 GMT


Sorry, Bert. I didn't notice your use of "apply", which will indeed give you separate regression results using all available data. But I was wondering, if there was a way to modify "lm" to be able to accomplish this, since it is doing separate regressions anyway.

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@jhmi.edu

Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html  



-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Bert Gunter Sent: Wednesday, January 03, 2007 4:46 PM To: 'Talbot Katz'; r-help@stat.math.ethz.ch Subject: Re: [R] na.action and simultaneous regressions

As the Help page says:

If response is a matrix a linear model is fitted separately by least-squares to each column of the matrix

So there's nothing hidden going on "behind the scenes," and apply(cbind(y1,y2),2,function(z)lm(z~x)) (or an explicit loop, of course) will produce a list each of whose components is a separate fit using all the nonmissing data in the column.

Bert Gunter
Genentech Nonclinical Statistics
South San Francisco, CA 94404

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Talbot Katz Sent: Wednesday, January 03, 2007 11:56 AM To: r-help@stat.math.ethz.ch
Subject: [R] na.action and simultaneous regressions

Hi.

I am running regressions of several dependent variables using the same set of independent variables. The independent variable values are complete, but

each dependent variable has some missing values for some observations; by default, lm(y1~x) will carry out the regressions using only the observations

without missing values of y1. If I do lm(cbind(y1,y2)~x), the default will be to use only the observations for which neither y1 nor y2 is missing. I'd

like to have the regression for each separate dependent variable use all the

non-missing cases for that variable. I would think that there should be a way to do that using the na.action option, but I haven't seen this in the documentation or figured out how to do it on my own. Can it be done this way, or do I have to code the regressions in a loop? (By the way, since it restricts to non-missing values in all the variables simultaneously, is this

because it's doing some sort of SUR or other simultaneous equation estimation behind the scenes?)

Thanks!


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