[R] About summary in linear models

[John C Frain]

Your email has become a bit distorted during transmission.  If you
have used the summary command you should be getting some more summary
statistics.  The lm function in R returns an object of class "lm"
which is a list containing at least the components listed in the help
files for lm.  The objects in the list are used to produce the summary
statistics.

If you are doing more elaborate work this approach (like the use of
internal functions in gretl) is very convenient.

Best Regards

John


On 6 December 2011 15:28, Otto F. Wagner <ofwagner at gmail.com> wrote:
> Hello!!, for linear models fit I use Gretl, but now I'm starting to use R,
> I would like to know if is there some function to obtain a extended summary
> like in Gretl.
>
> I will write a example in Gretl
>
>
> Modelo 1: MCO, usando las observaciones 1968-1982 (T = 15)
>
> Variable dependiente: Invest
>
>
> Coeficient
>
> St error
>
> t-ratio
>
> p-value
>
>
>
> const
>
> 377,631
>
> 35,0955
>
> 10,7601
>
> <0,00001
>
> ***
>
> GNP
>
> 0,63612
>
> 0,055015
>
> 11,5627
>
> <0,00001
>
> ***
>
> CPI
>
> -9,70228
>
> 0,913737
>
> -10,6182
>
> <0,00001
>
> ***
>
> Interest
>
> -0,941363
>
> 2,21077
>
> -0,4258
>
> 0,67927
>
>
>
> time
>
> 8,49182
>
> 3,18142
>
> 2,6692
>
> 0,02353
>
> **
>
>
>
> Average of Dep Var.
>
>  276,0067
>
>
> St Error Dep. Var
>
>  117,5827
>
> Squared Sum of remainders
>
>  818,6362
>
>
>
> Regression standar error
>
>  9,047852
>
> R^2
>
>  0,995771
>
>
>
> R^2 adj
>
>  0,994079
>
> F(4, 10)
>
>  588,6040
>
>
>
> p-value (de F)
>
>  8,09e-12
>
> Log-likelihood
>
> -51,28100
>
>
>
> Akaike
>
>  112,5620
>
> Schwarz
>
>  116,1023
>
>
>
> Hannan-Quinn
>
>  112,5243
>
> rho
>
> -0,440663
>
>
>
> Durbin-Watson
>
>  2,757428
>
>
> Like you can see Gretl shows more statisticas.
>
> The same model in R:
>
> Call:
> lm(formula = Invest ~ CPI + GNP + Interest + Year, data = Tabla6_3)
>
> Residuals:
>    Min      1Q  Median      3Q     Max
> -16.397  -3.864   1.391   4.219  15.779
>
> Coefficients:
>              Estimate Std. Error t value Pr(>|t|)
> (Intercept) -1.633e+04  6.250e+03  -2.612   0.0260 *
> CPI         -9.702e+00  9.137e-01 -10.618 9.15e-07 ***
> GNP          6.361e-01  5.502e-02  11.563 4.14e-07 ***
> Interest    -9.414e-01  2.211e+00  -0.426   0.6793
> Year         8.492e+00  3.181e+00   2.669   0.0235 *
> ---
> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
>
> Thanks so much,
>
> Otto
>
>        [[alternative HTML version deleted]]
>
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-- 
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com