Re: [R] Forcing coefficents in lm(), recursive residuals, etc.

From: Rick Ram <r.ramyar_at_gmail.com>
Date: Fri 29 Jul 2005 - 05:45:22 EST

Sorry guys, resending this - none of my posts have gone through because HTML emails where not being delivered... sending this plaintext now!

On 28/07/05, Rick Ram <r.ramyar@gmail.com> wrote:
> Resending cos I think this didn't get through for some reason... apologies
> if it arrives twice!
>
>
> ---------- Forwarded message ----------
> From: Rick Ram < r.ramyar@gmail.com>
> Date: 28-Jul-2005 18:03
> Subject: Forcing coefficents in lm(), recursive residuals, etc.
> To: R-help <r-help@stat.math.ethz.ch >
>
> Hello all,
>
> Does anyone know how to constrain/force specific coefficients when running
> lm()?
>
> I need to run recresid() {strucchange package} on the residuals of
> forecast.lm, but forecast.lm's coefficients must be determined by
> parameter.estimation.lm
>
> I could estimate forecast.lm without lm() and use some other kind of
> optimisation, but recresid() requires an object with class lm. recresid()
> allows you to specify a formula, rather than an lm object, but it looks like
> coefficients are estimated this way too and can't be forced.
>
> Here is a bit of code to compensate for my poor explanation:.
>
> # Estimate the coefficients of model
> parameter.estimation.lm = lm(formula = y ~ x1 + x2, data =
> estimation.dataset)
> # How do I force the coefficients in forecast.lm to the coeff estimation
> from parameter.estimation.lm??
>
> forecast.lm = lm(formula = y ~ x1 + x2, data = forecast.dataset)
> # Because I need recursive residuals from the application of the
> coefficients from parameter.estimation.lm to a different dataset
> recresid(forecast.lm)
>
> Thanks in advance guys,
>
> R.



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