[R] "summarry.lm" and NA values

[r user]

Gentlemen,

(I am using R 2.2.1 in a Windows environment.)

I apologize but I did not fully comprehend all of your
answer.  I have a dataframe called “data1”.  I run
several liner regression using the lm function similar
to:

reg <- ( lm(lm(data1[,2] ~., data1[,2:4])) )


I see from generous answers below how I can use 
"coef(reg)" to extract the coefficient estimates.  (If
the coefficient for a variable is for some reason NA,
"coef(reg)"  returns  NA for that coefficient, which
is what I want.)

My question: 
What is the best way to get the standard errors,
including NA values that “go with” each of these
coefficient estimates?  (i.e. If the coefficient
estimate is NA, I similarly want the standard error to
come back as NA, so that the length of coef(reg) is
the same as the length of the vector that contains the
standard errors. )

Thanks very much for all your help, and I apologize
for my need of additional assistance.






--- Berton Gunter <gunter.berton at gene.com> wrote:

> "Is there a way to..." always has the answer "yes"
> in R (or C or any
> language for that matter). The question is: "Is
> there a GOOD way...?" where
> "good" depends on the specifics of the situation. So
> after that polemic,
> below is an effort to answer, (adding to what Petr
> Pikal already said):
> 
> -- Bert Gunter
> Genentech Non-Clinical Statistics
> South San Francisco, CA
>  
> "The business of the statistician is to catalyze the
> scientific learning
> process."  - George E. P. Box
>  
>  
> 
> > -----Original Message-----
> > From: r-help-bounces at stat.math.ethz.ch 
> > [mailto:r-help-bounces at stat.math.ethz.ch] On
> Behalf Of r user
> > Sent: Tuesday, August 15, 2006 7:01 AM
> > To: rhelp
> > Subject: [R] question re: "summarry.lm" and NA
> values
> > 
> > Is there a way to get the following code to
> include
> > NA values where the coefficients are "NA"?
> > 
> > ((summary(reg))$coefficients)
> BAAAD! Don't so this. Use the extractor on the
> object: coef(reg) 
> This suggests that you haven't read the
> documentation carefully, which tends
> to arouse the ire of would-be helpers.
> 
> > 
> > explanation:
> > 
> > Using a loop, I am running regressions on several
> > "subsets" of "data1".
> > 
> > "reg <- ( lm(lm(data1[,1] ~., data1[,2:l])) )"
> ??? There's an error here I think. Do you mean
> update()? Do you have your
> subscripting correct?
> 
> > 
> > My regression has 10 independent variables, and I
> > therefore expect 11 coefficients.
> > After each regression, I wish to save the
> coefficients
> > and standard errors of the coefficients in a table
> > with 22 columns.
> > 
> > I successfully extract the coefficients using the
> > following code:
> > "reg$coefficients"
> Use the extractor, coef()
> 
> > 
> > I attempt to extract the standard errors using :
> > 
> > aperm((summary(reg))$coefficients)[2,]
> 
> BAAAD! Use the extractor vcov():
> sqrt(diag(vcov(reg)))
> > 
> > ((summary(reg))$coefficients)
> > 
> > My problem:
> > For some of my subsets, I am missing data for one
> or
> > more of the independent variables.  This of course
> > causes the coefficients and standard erros for
> this
> > variable to be "NA".
> Not it doesn't, as Petr said.
> 
> One possible approach: Assuming that a variable is
> actually missing (all
> NA's), note that coef(reg) is a named vector, so
> that the character string
> names of the regressors actually used are available.
> You can thus check for
> what's missing and add them as NA's at each return.
> Though I confess that I
> see no reason to put things ina matrix rather than
> just using a list. But
> that's a matter of personal taste I suppose.
> 
> > 
> > Is there a way to include the NA standard errors,
> so
> > that I have the same number of standard erros and
> > coefficients for each regression, and can then
> store
> > the coefficients and standard erros in my table of
> 22
> > columns?
> > 
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide 
> > http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained,
> reproducible code.
> > 
> 
>