[R] Intercept in model formulae.

[Pfaff, Bernhard]

dealing more generally with deterministic structural shiftsmore in the
context of Classical Linear Regressions, you can define suitable dummy
variables and multiply them with the regressors (all or a subset). 'test1'
contains two separate slope coefficients, whereas in 'test2' the additional
increment in the second subperiod is estimated, hence you have to sum the
two estimates to get the overall effect for the second subperiod.  

x <- 1:20
y <- c(1:10,seq(10.5,15,0.5))
dum1 <- c(rep(1,10),rep(0,10))
dum2 <- c(rep(0,10),rep(1,10))
reg1 <- x*dum1
reg2 <- x*dum2
test1 <- lm(y~-1+reg1+reg2)
test2 <- lm(y~-1+x+reg2)
summary(test)


Bernhard    

-----Original Message-----
From: vito muggeo [mailto:vito.muggeo at giustizia.it]
Sent: 11 September 2002 11:24
To: r-help at stat.math.ethz.ch; David Orme
Subject: Re: [R] Intercept in model formulae.


For two-parameter model (only two slopes) use the following equation
> coef(lm(y ~ 0+x+pmax(x-10,0)))
              x pmax(x - 10, 0)
            1.0            -0.5
or lm(y ~ x+pmax(x-10,0)-1)).
coef(obj)["x"] is the left slope and
(coef(obj)["x"]+coef(obj)["pmax(x-10,0)"])
is the right slope.
Therefore you might test immediately for the existence of the breakpoint
through the coefficient pmax(x-10,0), the differece-in-slope parameter.

best,
vito

----- Original Message -----
From: "David Orme" <d.orme at ic.ac.uk>
To: <r-help at stat.math.ethz.ch>
Sent: Friday, August 30, 2002 10:13 AM
Subject: [R] Intercept in model formulae.


> Hi,
>
> I'm trying to create a linear model for a dataset that has a breakpoint
e.g.
>
> # dummy dataset
> x <- 1:20
> y <- c(1:10,seq(10.5,15,0.5))
> plot(x,y)
>
> I've modelled this using the following formula:
>
> temp <- lm(y ~ x*(x<=10)+x*(x>10))
>
> I want to be able to omit the intercept (i.e. force the line through
> zero) from the first of these segments (x<=10) so that I'm only
> estimating one intercept and two slopes. I've tried including -1 in
> the formula, folllowing the lm(y ~ x -1) syntax  to omit the
> intercept from lm(y ~x) but the linear model still returns an
> estimate of the intercept of the first segment. I can't work out what
> the syntax for the formula should be. Is it possible in one step or
> do I have to fit the two lines as two models?
>
> Any suggestions?
>
> Thanks in advance,
>
> David Orme
>
> >  R.version
>           _
> platform ppc-apple-macos
> arch     ppc
> os       MacOS
> system   ppc, MacOS
> status
> major    1
> minor    5.0
> year     2002
> month    04
> day      29
> language R
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