Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Doran, Harold
Message- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of A. Beaujean > Sent: Monday, October 29, 2007 4:25 PM > To: Peter B. Mandeville > Cc: r-help > Subject: Re: [R] covariance matrix of the regression coefficients > > If X is your p-1 variable matrix (with

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread A. Beaujean
If X is your p-1 variable matrix (with the first column vector being 1s), i.e., nrow(X)=n and ncol(X)=p then MSE<-summary(lm(Y~X[2]+X[3] + ...X[P-1]))$s^2 and your coefficient (co)variance matrix is MSE*ginv(t(X)%*%X) Best, Alex On 10/29/07, Peter B. Mandeville <[EMAIL PROTECTED]> wrote: > >

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread John Fox
Dear Peter, See ?vcov. You could have discovered this via help.search("covariance"). I hope this helps, John On Mon, 29 Oct 2007 11:30:11 -0600 "Peter B. Mandeville" <[EMAIL PROTECTED]> wrote: > Greetings, > > > > Cohen, Cohen, West, and Aiken 2003 (Applied Multiple > Regression-Correlatio

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Peter Dalgaard
Peter B. Mandeville wrote: > Greetings, > > > > Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation > Analysis for the Behavioral Sciences, Third Edition) on page 273 state the > covariance matrix of the regression coefficients is provided by standard > programs for multip

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Ravi Varadhan
adhan.html -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Peter B. Mandeville Sent: Monday, October 29, 2007 1:30 PM To: r-help@r-project.org Subject: [R] covariance matrix of the regression coefficients Greetings, Cohen, Cohen, West, and Aiken 2003 (Applie

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Prof Brian Ripley
See ?vcov . On Mon, 29 Oct 2007, Peter B. Mandeville wrote: > Greetings, > > > > Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation > Analysis for the Behavioral Sciences, Third Edition) on page 273 state the > covariance matrix of the regression coefficients is provided

[R] covariance matrix of the regression coefficients

2007-10-29 Thread Peter B. Mandeville
Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and S

[R] covariance matrix of the regression coefficients

2007-10-29 Thread Peter B. Mandeville
Greetings, On page 273, Cohen, Cohen, West, and Aiken (Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences, Third Edition", state that the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, an

[R] covariance matrix of the regression coefficients

2007-10-29 Thread Peter B. Mandeville
Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple regression, including SAS, SPSS, and S