# [R] Test for equality of coefficients in multivariate multiple regression

From: Ulrich Keller <uhkeller_at_web.de>
Date: Wed 19 Jul 2006 - 04:15:12 EST

Hello,

suppose I have a multivariate multiple regression model such as the following:

> DF<-data.frame(x1=rep(c(0,1),each=50),x2=rep(c(0,1),50))
> tmp<-rnorm(100)
> DF\$y1<-tmp+DF\$x1*.5+DF\$x2*.3+rnorm(100,0,.5)
> DF\$y2<-tmp+DF\$x1*.5+DF\$x2*.7+rnorm(100,0,.5)
> x.mlm<-lm(cbind(y1,y2)~x1+x2,data=DF)
> coef(x.mlm)

```                    y1        y2
(Intercept) 0.07800993 0.2303557
x1          0.52936947 0.3728513
x2          0.13853332 0.4604842

```

How can I test whether x1 and x2 respectively have the same effect on y1 and y2? In other words, how can I test if coef(x.mlm)[2,1] is statistically equal to coef(x.mlm)[2,2] and coef(x.mlm)[3,1] to coef(x.mlm)[3,2]? I looked at linear.hypothesis {car} and glh.test {gmodels}, but these do not seem the apply to multivariate models. Thank you in advance,

Uli Keller

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 and provide commented, minimal, self-contained, reproducible code. Received on Wed Jul 19 04:22:07 2006

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Wed 19 Jul 2006 - 12:18:17 EST.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.