[R] Coefficients from LM

From: Pablo Gonzalez <ssrnmail_at_gmail.com>
Date: Fri 16 Sep 2005 - 06:08:59 EST


Hi everyone,

Can anyone tell me if its possibility to extract the coefficients from the lm() command?
For instance, imagine that we have the following data set (the number of observations for each company is actually larger than the one showed...):

Company	Y	X1	X2
1		y_1	x1_1	x2_1
1		y_2	x1_2	x2_2
1		y_3	x1_3	x2_3

(...)
2 y_4 x1_4 x2_4 2 y_5 x1_5 x2_5 2 y_6 x1_6 x2_6
(...)
n y_n x1_n x2_n n y_n1 x1_n1 x2_n1 n y_n2 x1_n2 x2_n2

(...)

I need to run a regression of Y=b0+b1*X1+b2*X2 for EACH company in the dataset and then retrieve the coefficients for each regression obtained (and t-stats and R^2) for each company and put it in another dataset/table. The procedure can be done easily done with a loop statement, but i need to retrieve each individual coefficient, t-stat, R^2, etc... I know that, using the $coefficients command will return the vector of coeffcients but I'm having trouble to assignt it to the correct row in the final dataset. Furthermore, I can't find any way of retrieving the R^2 and t-stats...

Thanks for any help,

Pablo.



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