Re: [R] feature not available

From: Liaw, Andy <andy_liaw_at_merck.com>
Date: Wed 22 Feb 2006 - 07:03:39 EST


From: Stephen Choularton
>
> Hi
>
> I am working with this data:
>
>
> my data summary is:
>
>
> > summary(spi)
> open high low close
> volume
>
> Min. :4315 Min. :4365 Min. :4301 Min. :4352 Min. :
> 0
> 1st Qu.:4480 1st Qu.:4497 1st Qu.:4458 1st Qu.:4475 1st
> Qu.:11135
> Median :4609 Median :4631 Median :4594 Median :4614 Median
> :14439
> Mean :4620 Mean :4640 Mean :4599 Mean :4620 Mean
> :16590
> 3rd Qu.:4773 3rd Qu.:4796 3rd Qu.:4753 3rd Qu.:4766 3rd
> Qu.:18294
> Max. :4944 Max. :4954 Max. :4912 Max. :4937 Max.
> :73559
> openInterest direction volatility
> volumeXdirection
> Min. : 0 Min. :-62.00000 Min. : 0.00 Min.
> :-2795242
> 1st Qu.:184685 1st Qu.:-19.25000 1st Qu.:30.00 1st
> Qu.: -248740
> Median :193233 Median : -1.50000 Median :38.50 Median
> : -15905
> Mean :188825 Mean : 0.01563 Mean :41.58 Mean
> : 6275
> 3rd Qu.:199800 3rd Qu.: 17.00000 3rd Qu.:50.00 3rd
> Qu.: 206325
> Max. :236759 Max. : 74.00000 Max. :94.00 Max.
> : 2024470
> volatilityXdirection upDown nextDay
> Min. : 0 Min. :0.0000 Min. :0.0000
> 1st Qu.: 362816 1st Qu.:0.0000 1st Qu.:0.0000
> Median : 540187 Median :0.0000 Median :0.0000
> Mean : 731595 Mean :0.4844 Mean :0.4844
> 3rd Qu.: 996650 3rd Qu.:1.0000 3rd Qu.:1.0000
> Max. :3604391 Max. :1.0000 Max. :1.0000
> >
>
> and trying to do a glm like this:
>
>
> > logistic.model = glm(formula = as.factor(nextDay) ~ .,
> family=binomial, data=spi[1:50,])
> > summary(logistic.model)
>
> Call:
> glm(formula = as.factor(nextDay) ~ ., family = binomial, data =
> spi[1:50,
> ])
>
> Deviance Residuals:
> Min 1Q Median 3Q Max
> -1.9994 -0.8575 -0.0330 0.7961 1.8376
>
> Coefficients: (2 not defined because of singularities)

                 ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

The answer is most likely here: You have multicollinearity.

Andy

> Estimate Std. Error z value Pr(>|z|)
> (Intercept) -3.016e+01 2.934e+01 -1.028 0.3040
> open -2.514e-02 8.939e-02 -0.281 0.7785
> high 7.598e-02 1.295e-01 0.587 0.5575
> low -1.065e-01 1.176e-01 -0.905 0.3656
> close 5.943e-02 7.995e-02 0.743 0.4573
> volume 1.960e-04 1.977e-04 0.991 0.3215
> openInterest 5.728e-05 5.266e-05 1.088 0.2767
> direction NA NA NA NA
> volatility NA NA NA NA
> volumeXdirection 3.605e-06 3.765e-06 0.958 0.3383
> volatilityXdirection -5.815e-06 5.708e-06 -1.019 0.3082
> upDown -2.561e+00 1.259e+00 -2.034 0.0419 *
> ---
> Signif. codes: 0 `***' 0.001 `**' 0.01 `*' 0.05 `.' 0.1 ` ' 1
>
> (Dispersion parameter for binomial family taken to be 1)
>
> Null deviance: 69.235 on 49 degrees of freedom
> Residual deviance: 55.000 on 40 degrees of freedom
> AIC: 75
>
> Number of Fisher Scoring iterations: 7
>
> >
>
> I am getting NA for direction and volatility. I got it both
> before and
> after casting them as.numeric.
>
> Can anyone tell me what I am doing wrong?
>
> Thanks
>
> Stephen
>
> --
>
>
>
> 20/02/2006
>
>
> [[alternative HTML version deleted]]
>
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>



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 Received on Wed Feb 22 07:08:56 2006

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