[R] regression analyses using a vector of means and a variance-covariance matrix

[Gabor Grothendieck]

There was a missing line:

On 10/14/06, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:
> Here is another approach using the same data as in
> John Fox's reply.   His is probably superior but this
> does have the advantage that its very simple.  Note
> that it gives the same coefficients and R squared
> to several decimal places.  We just simulate a
> data set with the given means and variance covariance
> matrix
>
>
> > library(car) # for Duncan
> > library(MASS) # for mvrnorm
> > set.seed(1)

data <- Duncan[,c("prestige", "income", "education")] # as in John Fox's post

> > DF <- mvrnorm(10000, colMeans(data), var(data), empirical = TRUE)
> > summary(lm(prestige ~ income + education, as.data.frame(DF)))
>
> Call:
> lm(formula = prestige ~ income + education, data = as.data.frame(DF))
>
> Residuals:
>     Min       1Q   Median       3Q      Max
> -49.0377  -8.7332   0.2068   8.8342  50.2737
>
> Coefficients:
>             Estimate Std. Error t value Pr(>|t|)
> (Intercept) -6.064663   0.277576  -21.85   <2e-16 ***
> income       0.598733   0.007756   77.19   <2e-16 ***
> education    0.545834   0.006368   85.71   <2e-16 ***
> ---
> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
>
> Residual standard error: 13.06 on 9997 degrees of freedom
> Multiple R-Squared: 0.8282,     Adjusted R-squared: 0.8281
> F-statistic: 2.409e+04 on 2 and 9997 DF,  p-value: < 2.2e-16
>
> On 10/14/06, John Sorkin <jsorkin at grecc.umaryland.edu> wrote:
> > R 2.2.0
> > windows XP
> >
> > How can I perform a regression analyses using a vector of means, a
> > variance-covariance matrix? I looked at the help screen for lm and did
> > not see any option for using the afore mentioned structures as input to
> > lm.
> > Thanks,
> > John
> >
> > John Sorkin M.D., Ph.D.
> > Chief, Biostatistics and Informatics
> > Baltimore VA Medical Center GRECC,
> > University of Maryland School of Medicine Claude D. Pepper OAIC,
> > University of Maryland Clinical Nutrition Research Unit, and
> > Baltimore VA Center Stroke of Excellence
> >
> > University of Maryland School of Medicine
> > Division of Gerontology
> > Baltimore VA Medical Center
> > 10 North Greene Street
> > GRECC (BT/18/GR)
> > Baltimore, MD 21201-1524
> >
> > (Phone) 410-605-7119
> > (Fax) 410-605-7913 (Please call phone number above prior to faxing)
> > jsorkin at grecc.umaryland.edu
> >
> > Confidentiality Statement:
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> >
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> >
>