[R] Test for equality of coefficients in multivariate multiple regression

Ulrich Keller uhkeller at web.de
Tue Jul 18 20:15:12 CEST 2006


suppose I have a multivariate multiple regression model such as the 

 > DF<-data.frame(x1=rep(c(0,1),each=50),x2=rep(c(0,1),50))
 > tmp<-rnorm(100)
 > DF$y1<-tmp+DF$x1*.5+DF$x2*.3+rnorm(100,0,.5)
 > DF$y2<-tmp+DF$x1*.5+DF$x2*.7+rnorm(100,0,.5)
 > x.mlm<-lm(cbind(y1,y2)~x1+x2,data=DF)
 > coef(x.mlm)
                    y1        y2
(Intercept) 0.07800993 0.2303557
x1          0.52936947 0.3728513
x2          0.13853332 0.4604842

How can I test whether x1 and x2 respectively have the same effect on y1 
and y2? In other words, how can I test if coef(x.mlm)[2,1] is 
statistically equal to coef(x.mlm)[2,2] and coef(x.mlm)[3,1] to 
coef(x.mlm)[3,2]? I looked at linear.hypothesis {car} and glh.test 
{gmodels}, but these do not seem the apply to multivariate models.
Thank you in advance,

Uli Keller

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