On Aug 19, 2013, at 12:48 PM, David Winsemius wrote:
>
> 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
snipped output
>
> 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
>
This might be more economical"
?all.names
fama.macbeth <- function( formula, din ) {
fnames <- all.names( formula ) ; str(fnames)
dnames <- names( din)
fnames[-1] %in% dnames
}
fama.macbeth( x ~ y, data.frame(x=rnorm(10), y=rnorm(10) ) )
chr [1:3] "~" "x" "y"
[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)
>>
David Winsemius
Alameda, CA, USA
______________________________________________
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.
