On Aug 19, 2013, at 9:45 AM, ivo welch wrote:
> dear R experts---I was programming a fama-macbeth panel regression (a
> fama-macbeth regression is essentially T cross-sectional regressions, with
> statistics then obtained from the time-series of coefficients), partly
> because I wanted faster speed than plm, partly because I wanted some
> additional features.
>
> my function starts as
>
> fama.macbeth <- function( formula, din ) {
> names <- terms( formula )
> ## omitted : I want an immediate check that the formula refers to
> existing variables in the data frame with English error messages
>
Look the structure of a terms result from a formula argument with str():
fama.macbeth <- function( formula, din ) {
fnames <- terms( formula ) ; str(fnames)
}
> fama.macbeth( x ~ y, data.frame(x=rnorm(10), y=rnorm(10) ) )
Classes 'terms', 'formula' length 3 x ~ y
..- attr(*, "variables")= language list(x, y)
..- attr(*, "factors")= int [1:2, 1] 0 1
.. ..- attr(*, "dimnames")=List of 2
.. .. ..$ : chr [1:2] "x" "y"
.. .. ..$ : chr "y"
..- attr(*, "term.labels")= chr "y"
..- attr(*, "order")= int 1
..- attr(*, "intercept")= int 1
..- attr(*, "response")= int 1
..- attr(*, ".Environment")=<environment: R_GlobalEnv>
Then extract the dimnames from the "factors" attribute to compare to the names
in hte data-object:
> fama.macbeth <- function( formula, din ) {
fnames <- terms( formula ) ; dnames <- names( din)
dimnames(attr(fnames, "factors"))[[1]] %in% dnames
}
#[1] TRUE TRUE
I couldn't tell if this was the main thrust of you question. It seems to
meander a bit.
--
David.
> monthly.regressions <- by( din, as.factor(din$month), function(dd)
> coef(lm(model.frame( formula, data=dd )))
> as.m <- do.call("rbind", monthly.regressions)
> colMeans(as.m) ## or something like this.
> }
> say my data frame mydata has columns named month, r, laggedx and ... . I
> can call this function
>
> fama.macbeth( r ~ laggedx, din=mydata )
>
> but it fails
What fails?
> if I want to compute my x variables. for example,
>
> myx <- d[,"laggedx"]
> fama.macbeth( r ~ myx)
>
> I also wish that the computed myx still remembered that it was really
> laggedx. it's almost as if I should not create a vector myx but a data
> frame myx to avoid losing the column name.
I wouldn't say "almost"... rather that is exactly what you should do. R
regression methods almost always work better when formulas are interpreted in
the environment of the data argument.
> I wonder why such vectors don't
> keep a name attribute of some sort.
>
> there is probably an "R way" of doing this. is there?
>
> /iaw
>
> ----
> Ivo Welch (ivo.we...@gmail.com)
>
> [[alternative HTML version deleted]]
Still posting HTML?
>
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
And do explain what the goal is.
--
David Winsemius
Alameda, CA, USA
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