[R] Linear multivariate regression with Robust error

[Michael Friendly]

On 6/10/2011 12:23 AM, Barjesh Kochar wrote:
> Dear all,
>
> i am doing linear regression with robust error  to know the effect of
> a  (x) variable on (y)other if i execute the command i found positive
> trend.
>           But if i check the effect of number of (x.x1,x2,x3)variables
> on same (y)variable then the positive effect shwon by x variable turns
> to negative. so plz help me in this situation.
>
> Barjesh Kochar
> Research scholar
>
You don't give any data or provide any code (as the posting guide 
requests) , so I have to guess that you
have just rediscovered Simpson's paradox -- that the coefficient of a 
variable in a marginal regression can have an opposite sign to that in
a joint model with other predictors. I have no idea what you mean
by 'robust error'.

One remedy is an added-variable plot which will show you the partial
contributions of each predictor in the joint model, as well as whether
there are any influential observations that are driving the estimated
coefficients.


-- 
Michael Friendly     Email: friendly AT yorku DOT ca
Professor, Psychology Dept.
York University      Voice: 416 736-5115 x66249 Fax: 416 736-5814
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