[R] extend summary.lm for hccm?
Achim Voß
achim.voss at uni-muenster.de
Tue Dec 30 14:15:37 CET 2008
Hi!
I am trying to estimate Engel curves using a big sample (>42,000) using lm and
taking heteroskedasticity into account by using the summaryHCCM posted here by
John Fox (Mon Dec 25 16:01:59 CET 2006).
Having used the SIC (with MASS stepAIC) to determine how many powers to use I
estimate the model:
> # =========================================
> summary.lm(fit.lm.5)
Call:
lm(formula = energyshare ~ 1 + I(x.log) + I(x.log^2) + I(x.log^3) +
I(x.log^4) + I(x.log^5), data = ev)
Residuals:
Min 1Q Median 3Q Max
-0.098819 -0.023682 -0.007043 0.013924 0.486615
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -5.452e+01 1.234e+01 -4.418 9.97e-06 ***
I(x.log) 3.177e+01 6.966e+00 4.560 5.13e-06 ***
I(x.log^2) -7.330e+00 1.567e+00 -4.677 2.93e-06 ***
I(x.log^3) 8.395e-01 1.757e-01 4.778 1.78e-06 ***
I(x.log^4) -4.775e-02 9.814e-03 -4.865 1.15e-06 ***
I(x.log^5) 1.079e-03 2.185e-04 4.939 7.90e-07 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.03748 on 42738 degrees of freedom
Multiple R-squared: 0.09236, Adjusted R-squared: 0.09226
F-statistic: 869.8 on 5 and 42738 DF, p-value: < 2.2e-16
> # =========================================
Now I use summaryHCCM(fit.lm.5):
> # =========================================
> summaryHCCM(fit.lm.5)
Fehler in solve.default(L %*% V %*% t(L)) :
System ist für den Rechner singulär: reziproke Konditionszahl = 6.98689e-19
> # =========================================
("Error in solve.default(L %*% V %*% t(L)) :
System is singulary for the computer: reciprocal number of conditions =
6.98689e-19")
This does not happen if I omit I(x.log^5). I do not know what it means and I'd
be grateful if anyone could help. And I'd like to add a (more or less) related
question: Can I still use AIC, SIC etc. if I know there's a heteroskedasticity
problem?
Thanks in advance,
Achim
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