[R] Funny behaviour of coef() and vcov() if X is singular
BXC (Bendix Carstensen)
bxc at steno.dk
Mon Sep 27 13:57:12 CEST 2004
coef() and vcov() have different dimensions if a model contains alised
parameters
as the following example illustrates.
A search on "alised" gave noting as far as I could see.
Is this a known bug?
Bendix C
----------------------
Bendix Carstensen
Senior Statistician
Steno Diabetes Center
Niels Steensens Vej 2
DK-2820 Gentofte
Denmark
tel: +45 44 43 87 38
mob: +45 30 75 87 38
fax: +45 44 43 07 06
bxc at steno.dk
www.biostat.ku.dk/~bxc
----------------------
> x <- rnorm(100)
> y <- rnorm(100)
> z <- rnorm(100)
> summary( mu <- lm( y ~x + I(x-z)+z ) )
Call:
lm(formula = y ~ x + I(x - z) + z)
Residuals:
Min 1Q Median 3Q Max
-1.917325 -0.633091 -0.003363 0.561464 2.473183
Coefficients: (1 not defined because of singularities)
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.07806 0.09118 0.856 0.3940
x -0.27373 0.11415 -2.398 0.0184
I(x - z) 0.08617 0.08524 1.011 0.3146
z NA NA NA NA
Residual standard error: 0.9061 on 97 degrees of freedom
Multiple R-Squared: 0.05813, Adjusted R-squared: 0.03871
F-statistic: 2.993 on 2 and 97 DF, p-value: 0.05476
> coef( mu )
(Intercept) x I(x - z) z
0.07805884 -0.27373500 0.08617152 NA
> vcov( mu )
(Intercept) x I(x - z)
(Intercept) 8.313341e-03 -5.702109e-05 0.0007248947
x -5.702109e-05 1.303028e-02 -0.0057006507
I(x - z) 7.248947e-04 -5.700651e-03 0.0072657814
> length( coef( mu ) )
[1] 4
> dim( vcov( mu ) )
[1] 3 3
> version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 1
minor 9.1
year 2004
month 06
day 21
language R
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