Hi everyone, my data is in a dataframe similar to this but
with more firms, more industries, more years and variables
that correspond to financial information:
firm<-c(rep(1,4),rep(2,4),rep(3,4),rep(4,4))
year<-c(rep(2000:2003,4))
industry<-c(rep(10,4),rep(20,4),rep(10,4),rep(30,4))
X1<-c(10,14,18,16,20,45,23,54,24,67,98,58,76,34,23,89)
X2<-c(11,46,89,36,72,78,55,44,22,78,53,25,12,45,87,23)
Y<-c(12,45,32,69,87,54,33,22,89,66,35,23,15,54,67,87)
data<-data.frame(firm, industry,year,Y,X1,X2)
data
firm industry year Y X1 X2
1 10 2000 12 10 11
1 10 2001 45 14 46
1 10 2002 32 18 89
1 10 2003 69 16 36
2 20 2000 87 20 72
2 20 2001 54 45 78
2 20 2002 33 23 55
2 20 2003 22 54 44
3 10 2000 89 24 22
3 10 2001 66 67 78
3 10 2002 35 98 53
3 10 2003 23 58 25
4 30 2000 15 76 12
4 30 2001 54 34 45
4 30 2002 67 23 87
4 30 2003 87 89 23
I need to obtain the coefficients and the statistics by
year and by industry, for the lm function:
ff<-Y~b1 + b2.X1 + b3.X3
So what Ive done was: subset the dataframe by year, so I
have 3 dataframes corresponding to the 3 years
(dataframe2000, dataframe2001,
) and then I applied a
function that Ive found in R-help mails:
coef2000<-as.data.frame(t(sapply(split(dataframe2000,dataframe2000$industry),function(x){coef(lm(ff,data=x))})))
I need help in two ways:
First: Id like to have in the dataframe of the
coefficients more statistics information that helps me to
understand the significance of the coefficients; and
Second: Is that possible to obtain this output for all
years at once?
Thanks in advance,
Cecília Carmo (Universidade de Aveiro Portugal)
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