[R] covariance matrix of the regression coefficients

Ravi Varadhan rvaradhan at jhmi.edu
Mon Oct 29 19:14:49 CET 2007


You can use vcov(lm.obj) to extract the covariance matrix, where "lm.obj" is
your fitted object from lm().



Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html



-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Peter B. Mandeville
Sent: Monday, October 29, 2007 1:30 PM
To: r-help at r-project.org
Subject: [R] covariance matrix of the regression coefficients



Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation
Analysis for the Behavioral Sciences, Third Edition) on page 273 state the
covariance matrix of the regression coefficients is provided by standard
programs for multiple regression, including SAS, SPSS, and SYSTAT. How can
it be calculated with R. Thank you very much.




Peter B. Mandeville

cel:    444 860 3204

tel: 52 444 826 2346-49 ext 532

fax: 52 444 826 2350


P.D. Favor de confirmar la llegada de este correo. Gracias.


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