glm() will handle fractional logit with some tweaks. below is copied from
my blog in a python example. however, you should be able to see the R code
from it.
In [12]: # Address the same type of model with R by Pyper
In [13]: import pyper as pr
In [14]: r = pr.R(use_pandas = True)
In [15]: r.r_data = data
In [16]: # Indirect Estimation of Discrete Dependent Variable Models
In [17]: r('data <- rbind(cbind(r_data, y = 1, wt = r_data$LEV_LT3),
cbind(r_data, y = 0, wt = 1 - r_data$LEV_LT3))')
Out[17]: 'try({data <- rbind(cbind(r_data, y = 1, wt =
r_data$LEV_LT3), cbind(r_data, y = 0, wt = 1 - r_data$LEV_LT3))})\n'
In [18]: r('mod <- glm(y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A,
weights = wt, subset = (wt > 0), data = data, family = binomial)')
Out[18]: 'try({mod <- glm(y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A,
weights = wt, subset = (wt > 0), data = data, family =
binomial)})\nWarning message:\nIn eval(expr, envir, enclos) :
non-integer #successes in a binomial glm!\n'
In [19]: print r('summary(mod)')
try({summary(mod)})
Call:
glm(formula = y ~ COLLAT1 + SIZE1 + PROF2 + LIQ + IND3A, family = binomial,
data = data, weights = wt, subset = (wt > 0))
Deviance Residuals:
Min 1Q Median 3Q Max
-1.0129 -0.4483 -0.3173 -0.1535 2.5379
Coefficients:
Estimate Std. Error z value Pr(>|z|)
(Intercept) -7.24979 0.56734 -12.779 < 2e-16 ***
COLLAT1 1.23715 0.26012 4.756 1.97e-06 ***
SIZE1 0.35901 0.03746 9.584 < 2e-16 ***
PROF2 -3.14313 0.73895 -4.254 2.10e-05 ***
LIQ -1.38249 0.35749 -3.867 0.00011 ***
IND3A 0.54658 0.14136 3.867 0.00011 ***
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
(Dispersion parameter for binomial family taken to be 1)
Null deviance: 2692.0 on 5536 degrees of freedom
Residual deviance: 2456.4 on 5531 degrees of freedom
AIC: 1995.4
Number of Fisher Scoring iterations: 6
On Sun, Feb 3, 2013 at 11:17 AM, Rachael Garrett
<rachaeldgarr...@gmail.com>wrote:
> Hi,
>
> Does anyone know of a function in R that can handle a fractional variable
> as the dependent variable? The catch is that the function has to be
> inclusive of 0 and 1, which betareg() does not.
>
> It seems like GLM might be able to handle the fractional logit model, but
> I can't figure it out. How do you format GLM to do so?
>
> Best,
>
> Rachael
>
>
>
> [[alternative HTML version deleted]]
>
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--
==============================
WenSui Liu
Credit Risk Manager, 53 Bancorp
wensui....@53.com
513-295-4370
==============================
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