Hi:
You don't state the test for which you want the p-value, and to reiterate
what Dr. Ligges asked in response to your earlier post, how do you propose
to define a single R^2 measure? One may be able to answer your question re
an overall significance test using the anova() function:
> Y<-matrix(c(3,5,6,3,4,2,4,5,3,2,3,5,6,3,4,2,4,5,3,2,3,5,6,3,4,2,4,5,3,2),
nrow = 10, ncol=3, byrow=TRUE)
> X<-matrix(c(42,54,67,76,45,76,54,87,34,65), nrow = 10, ncol=1, byrow=TRUE)
> m <- lm(Y~X)
> anova(m) # Default is Pillai's trace
Analysis of Variance Table
Df Pillai approx F num Df den Df Pr(>F)
(Intercept) 1 0.97219 69.917 3 6 4.656e-05 ***
X 1 0.36415 1.145 3 6 0.4041
Residuals 8
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
> anova(m, test = 'Wilks') # Wilks' lambda
Analysis of Variance Table
Df Wilks approx F num Df den Df Pr(>F)
(Intercept) 1 0.02781 69.917 3 6 4.656e-05 ***
X 1 0.63585 1.145 3 6 0.4041
Residuals 8
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
Roy's maximum root test and the Lawley-Hotelling statistic can also be
applied by using 'Roy' or 'Hotelling' as the value of the test = argument of
anova.lm().
HTH,
Dennis
On Sun, Feb 6, 2011 at 11:08 PM, Deniz SIGIRLI <denizsigi...@hotmail.com>wrote:
>
>
> #I have got 3 dependent variables:
>
> Y<-matrix(c(3,5,6,3,4,2,4,5,3,2,3,5,6,3,4,2,4,5,3,2,3,5,6,3,4,2,4,5,3,2),
> nrow = 10, ncol=3, byrow=TRUE)
> #I've got one independent variable:
>
> X<-matrix(c(42,54,67,76,45,76,54,87,34,65), nrow = 10, ncol=1, byrow=TRUE)
> summary(lm(Y~X))
>
>
> and the result is as below:
> Response Y1 :
>
> Call:
> lm(formula = Y1 ~ X)
>
> Residuals:
> Min 1Q Median 3Q Max
> -1.5040 -0.8838 -0.3960 1.1174 2.1162
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> (Intercept) 4.43507 1.70369 2.603 0.0315 *
> X -0.01225 0.02742 -0.447 0.6668
> ---
> Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
>
> Residual standard error: 1.401 on 8 degrees of freedom
> Multiple R-squared: 0.02435, Adjusted R-squared: -0.09761
> F-statistic: 0.1997 on 1 and 8 DF, p-value: 0.6668
>
>
> Response Y2 :
>
> Call:
> lm(formula = Y2 ~ X)
>
> Residuals:
> Min 1Q Median 3Q Max
> -1.4680 -0.8437 -0.2193 0.9050 1.9960
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> (Intercept) 1.37994 1.50111 0.919 0.385
> X 0.03867 0.02416 1.601 0.148
>
> Residual standard error: 1.235 on 8 degrees of freedom
> Multiple R-squared: 0.2426, Adjusted R-squared: 0.1479
> F-statistic: 2.562 on 1 and 8 DF, p-value: 0.1481
>
>
> Response Y3 :
>
> Call:
> lm(formula = Y3 ~ X)
>
> Residuals:
> Min 1Q Median 3Q Max
> -1.7689 -0.7316 -0.1943 1.1448 2.0933
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> (Intercept) 4.38913 1.70626 2.572 0.033 *
> X -0.01149 0.02746 -0.418 0.687
> ---
> Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
>
> Residual standard error: 1.403 on 8 degrees of freedom
> Multiple R-squared: 0.0214, Adjusted R-squared: -0.1009
> F-statistic: 0.175 on 1 and 8 DF, p-value: 0.6867
>
>
>
> There are 3 F statistics, R2 and p-values. But I want just one R2 and
> pvalue for my multivariate regression model.
>
>
>
>
>
>
>
>
>
> > Date: Fri, 4 Feb 2011 08:23:39 -0500
> > From: jsor...@grecc.umaryland.edu
> > To: denizsigi...@hotmail.com; r-help@r-project.org
> > Subject: Re: [R] multivariate regression
> >
> > Please help us help you. Follow the posting rules and send us a copy of
> your code and output.
> > John
> > John Sorkin
> > Chief Biostatistics and Informatics
> > Univ. of Maryland School of Medicine
> > Division of Gerontology and Geriatric Medicine
> > jsor...@grecc.umaryland.edu
> > -----Original Message-----
> > From: Deniz SIGIRLI <denizsigi...@hotmail.com>
> > To: <r-help@r-project.org>
> >
> > Sent: 2/4/2011 7:54:56 AM
> > Subject: [R] multivariate regression
> >
> >
> > How can I run multivariate linear regression in R (I have got 3 dependent
> variables and only 1 independent variable)? I tried lm function, but it gave
> different R2 and p values for every dependent variable. I need one R2 and p
> value for the model.
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org 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.
> >
> > Confidentiality Statement:
> > This email message, including any attachments, is for ...{{dropped:5}}
>
>
> ______________________________________________
> R-help@r-project.org mailing list
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> PLEASE do read the posting guide
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>
>
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