Thanks a lot John. Forgot I could arbitrarily change the class of objects, which against all critics, can be very helpful at times.
Best, Axel. > On Dec 29, 2015, at 9:35 AM, Fox, John <j...@mcmaster.ca> wrote: > > Dear Axel, > > If you look at the content of the list returned by glm.fit, you'll see that > it contains almost everything in a "glm" object, and what's needed to compute > the coefficient covariance matrix. Here's one way to do what you want (but > note that your example was faulty in that you didn't include the regression > constant in the call to glm.fit): > >> set.seed(1) >> n <- 100 >> x <- rnorm(n) >> y1 <- rnorm(n) >> y2 <- rbinom(n, 1, .25) # you never use this in your example >> >> M1 <- glm (y1 ~ x) >> M2 <- glm.fit(x = cbind(1, x), y = y1) # corrected >> class(M2) <- "glm" >> vcov(M1) > (Intercept) x > (Intercept) 0.009406535 -0.00126365 > x -0.001263650 0.01160511 >> vcov(M2) > x > 0.009406535 -0.00126365 > x -0.001263650 0.01160511 > > You may have a reason to use glm.fit in preference to glm, but I'm not sure > why you'd want to do that. > > I hope this helps, > John > > ----------------------------------------------- > John Fox, Professor > McMaster University > Hamilton, Ontario, Canada > http://socserv.socsci.mcmaster.ca/jfox/ > > > >> -----Original Message----- >> From: R-help [mailto:r-help-boun...@r-project.org] On Behalf Of Axel >> Urbiz >> Sent: Tuesday, December 29, 2015 9:10 AM >> To: R-help@r-project.org >> Subject: [R] Extract Standard Errors of Model Coefficients >> >> Hello, >> >> Is it possible to extract or compute the standard errors of model >> coefficients from a glm.fit object? This can be easily done from a >> fitted glm object, but I need glm.fit. >> >> >> set.seed(1) >> n <- 100 >> x <- rnorm(n) >> y1 <- rnorm(n) >> y2 <- rbinom(n, 1, .25) >> >> M1 <- glm (y1 ~ x) >> M2 <- glm.fit(x = x, y = y1) >> seCoef <- sqrt(diag(vcov(M1))) >> seCoef >> >> (Intercept) x >> 0.09698729 0.10772703 >> >> Thank you, >> Axel. >> ______________________________________________ >> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >> 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. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.
