From: Jean Eid <jeaneid_at_chass.utoronto.ca>

Date: Tue 06 Sep 2005 - 01:30:31 EST

Date: Tue 06 Sep 2005 - 01:30:31 EST

here's an example

data(iris)

iris1<-iris

iris1$setosa<-0

iris1[iris1$Species%in%"setosa", "setosa"]<-1
iris1$versicolor<-0

iris1$virginica<-0

iris1[iris1$Species%in%"virginica", "virginica"]<-1
iris1[iris1$Species%in%"versicolor", "versicolor"]<-1
iris1<-iris1[, !colnames(iris1)%in%"Species"]
summary(lm(Sepal.Length~.-1, data=iris1))

Call:

lm(formula = Sepal.Length ~ . - 1, data = iris1)

Residuals:

Min 1Q Median 3Q Max -0.794236 -0.218743 0.008987 0.202546 0.731034

Coefficients:

Estimate Std. Error t value Pr(>|t|)

Sepal.Width 0.49589 0.08607 5.761 4.87e-08 *** Petal.Length 0.82924 0.06853 12.101 < 2e-16 *** Petal.Width -0.31516 0.15120 -2.084 0.03889 * setosa 2.17127 0.27979 7.760 1.43e-12 *** versicolor 1.44770 0.28149 5.143 8.68e-07 *** virginica 1.14777 0.35356 3.246 0.00145 **

--- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.3068 on 144 degrees of freedom Multiple R-Squared: 0.9974, Adjusted R-squared: 0.9973 F-statistic: 9224 on 6 and 144 DF, p-value: < 2.2e-16 summary(lm(Sepal.Length~.-1, data=iris)) Call: lm(formula = Sepal.Length ~ . - 1, data = iris) Residuals: Min 1Q Median 3Q Max -0.794236 -0.218743 0.008987 0.202546 0.731034 Coefficients: Estimate Std. Error t value Pr(>|t|) Sepal.Width 0.49589 0.08607 5.761 4.87e-08 *** Petal.Length 0.82924 0.06853 12.101 < 2e-16 *** Petal.Width -0.31516 0.15120 -2.084 0.03889 * Speciessetosa 2.17127 0.27979 7.760 1.43e-12 *** Speciesversicolor 1.44770 0.28149 5.143 8.68e-07 *** Speciesvirginica 1.14777 0.35356 3.246 0.00145 ** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.3068 on 144 degrees of freedom Multiple R-Squared: 0.9974, Adjusted R-squared: 0.9973 F-statistic: 9224 on 6 and 144 DF, p-value: < 2.2e-16 On Mon, 5 Sep 2005, Tobias Muhlhofer wrote:Received on Tue Sep 06 02:09:35 2005

> So are you guys saying to me that if I have variable firm which is the

> factor of all firm identifiers, I could just go>> lm(y ~ x + firm)>> and that will implicitly include a dummy for each level of factor firm,> thus making this a fixed effects (aka LSDV) model?>> T>>> Jean Eid wrote:> > You can turn the identity vector of the firms into a factor and do lm ....> >> > Jean> >> > On Mon, 5 Sep 2005, Tobias Muhlhofer wrote:> >> >> >>Hi, all!> >>> >>Anyone know an easy way to specify the following model.> >>> >>Panel dataset, with stock through time, by firm.> >>> >>I want to run a model of y on a bunch of explanatory variables, and one> >>dummy for each firm, which is 1 for observations that come from firm i,> >>and 0 everywhere else. I have over 200 firms (and a factor variable that> >> contains a firm identifier).> >>> >>Any easy way of going about this, without having to define all these> >>dummies? I checked lme() with random = ~ 1|firm, but the problem is that> >>these are random effects, i.e. that there are firm-by-firm disturbance> >>terms and overall disturbance terms, whereas I want just overall> >>disturbance terms. This is generally called a "fixed effects" model,> >>although it seems like the term "fixed effects" is being used somewhat> >>differently in the context of the nlme package.> >>> >>Toby> >>> >>--> >>**************************************************************************> >>When Thomas Edison invented the light bulb he tried over 2000> >>experiments before he got it to work. A young reporter asked> >>him how it felt to have failed so many times. He said> >>"I never failed once. I invented the light bulb.> >>It just happened to be a 2000-step process."> >>> >>______________________________________________> >>R-help@stat.math.ethz.ch mailing list> >>https://stat.ethz.ch/mailman/listinfo/r-help> >>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html> >>> >> >> >>> --> **************************************************************************> When Thomas Edison invented the light bulb he tried over 2000> experiments before he got it to work. A young reporter asked> him how it felt to have failed so many times. He said> "I never failed once. I invented the light bulb.> It just happened to be a 2000-step process.">> ______________________________________________> R-help@stat.math.ethz.ch mailing list> https://stat.ethz.ch/mailman/listinfo/r-help> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html>

______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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