[R] Multivariate LM: calculating F-values after calling linear.hypothesis

[John Fox]

Dear Christoph,

To answer your question directly, F statistics are ratios of mean squares,
not of sums of squares. You have to divide the hypothesis and error sums of
squares by their respective degrees of freedom to form the mean squares
before computing the F statistic for each test. Assuming that x is a
quantitative variable (not a factor), the error (denominator) df will be 78
= 80 - 2 and the df for each hypothesis (numerator df) will be 1.

That said, there are a couple of things that you said that trouble me:
First, you mention that you scaled the response variables to [0, 1], but
that doesn't imply that the variables are on the same scale in any
meaningful sense, possibly rendering the hypotheses uninterpretable. Second,
you have 7 responses variables but only 4 hypotheses. You aren't therefore
using all 6 df for differences among the responses (not necessarily a
problem), but you apparently ignore the last response variable entirely
(which almost surely doesn't make sense).

Regards,
 John

------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox


> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
> Behalf Of Dr. Christoph Scherber
> Sent: June-07-08 4:39 PM
> To: r-help at r-project.org
> Subject: [R] Multivariate LM: calculating F-values after calling
> linear.hypothesis
> 
> Dear R users,
> 
> I am analyzing several response variables (all scaled to [0;1]) using a
> multivariate linear model.
> 
> After fitting the model, I set up a hypothesis matrix to test specific
> contrasts for these response variables; for example: "a always increases
> significantly more than b when regressed against x".
> 
> What I am stuck with now is how to calculate the correct F-values (and
> against how many d.f. to test them) after calling linear.hypothesis from
> the car package:
> 
> (assuming there are 80 observations)
> 
> ##
> 
> mult=lm(cbind(a,b,c,d,e,f,g)~x)
> 
> summary(mult)
> library(car)
> 
> P <- cbind(
> c(-1,1,0,0,0,0,0),
> c(-3,-3,6,6,-3,-3,0),
> c(0,0,2,0,-1,-1,0),
> c(0,0,-1,0,1,0,0))
> 
> P
>  [,1] [,2] [,3]
> [1,]   -1   -3    0
> [2,]    1   -3    0
> [3,]    0    6    2
> [4,]    0    6    0
> [5,]    0   -3   -1
> [6,]    0   -3   -1
> [7,]    0    0    0
> 
> summary(mult)
> 
> linhyp=linear.hypothesis(mult, "x", P=P)
> 
> linhyp
> 
>  Response transformation matrix:
>      [,1] [,2] [,3] [,4]
> [1,]   -1   -3    0    0
> [2,]    1   -3    0    0
> [3,]    0    6    2   -1
> [4,]    0    6    0    0
> [5,]    0   -3   -1    1
> [6,]    0   -3   -1    0
> [7,]    0    0    0    0
> 
> Sum of squares and products for the hypothesis:
>             [,1]      [,2]       [,3]       [,4]
> [1,]  0.06744438 -2.065499 -0.5790014  0.3233393
> [2,] -2.06549912 63.256374 17.7320486 -9.9023380
> [3,] -0.57900143 17.732049  4.9706540 -2.7758268
> [4,]  0.32333928 -9.902338 -2.7758268  1.5501410
> 
> Sum of squares and products for error:
>            [,1]       [,2]      [,3]       [,4]
> [1,]  4.4957632   1.084781  2.196134 -0.7621832
> [2,]  1.0847809 173.494183 20.425963 -7.7303319
> [3,]  2.1961336  20.425963  8.584237 -3.8182268
> [4,] -0.7621832  -7.730332 -3.818227  2.3045286
> 
> 
> 1-pf(diag(linhyp2$SSPH)/diag(linhyp2$SSPE),1,79)
> 1-pt(sqrt(diag(linhyp2$SSPH)/diag(linhyp2$SSPE)),79)
> 
> ##
> 
> The last two lines of code are what I am stuck with; I thought using
> diag() on the SSPH and SSPE matrices should give me the sums of squares
> for hypothesis and error; so division should yield the F values?
> 
> I would be most grateful for any help!
> 
> Best wishes
> Christoph
> 
> 
> 
> 
> 
> --
> Dr. Christoph Scherber
> University of Goettingen
> DNPW, Agroecology
> Waldweg 26
> D-37073 Goettingen, Germany
> www.gwdg.de/~cscherb1
> 
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