[R] Multiple regression (with interactions) by hand

[Joshua Wiley]

Hi Christoph,

Use this matrix expression instead:

solve(crossprod(X)) %*% t(X) %*% Y

Note that:

all.equal(crossprod(X), t(X) %*% X)

Cheers,

Joshua



On Tue, Sep 3, 2013 at 2:51 AM, Christoph Scherber
<Christoph.Scherber at agr.uni-goettingen.de> wrote:
> Dear all,
>
> I´ve played around with the "airquality" dataset, trying to solve the matrix equations of a simple
> multiple regression by hand; however, my matrix multiplications don´t lead to the estimates returned
> by coef(). What have I done wrong here?
>
> ##
> m1=lm(Ozone~Solar.R*Wind,airquality)
>
> # remove NA´s:
> airquality2=airquality[complete.cases(airquality$Ozone)&
> complete.cases(airquality$Solar.R)&
> complete.cases(airquality$Wind),]
>
> # create the model matrix by hand:
> X=cbind("(Intercept)"=1,Solar.R=airquality2$Solar.R,Wind=airquality2$Wind,"Solar.R:Wind"=airquality2$Solar.R*airquality2$Wind)
> # is the same as:
> model.matrix(m1)
>
> # create the response vector by hand:
> Y=airquality2$Ozone
> # is the same as:
> m1$model$Ozone
>
> # Now solve for the parameter estimates:
> library(MASS)
> ginv(t(X)%*%X)%*%t(X)%*%Y
>
> # is not the same as:
> coef(m1)
>
> ##
> Now why is my result (line ginv(...)) not the same as the one returned by coef(m1)?
>
> Thanks very much for your help!
>
> Best regards,
> Christoph
>
> [using R 3.0.1 on Windows 7 32-Bit]
>
>
>
>
>
> --
> PD Dr Christoph Scherber
> Georg-August University Goettingen
> Department of Crop Science
> Agroecology
> Grisebachstrasse 6
> D-37077 Goettingen
> Germany
> phone 0049 (0)551 39 8807
> fax 0049 (0)551 39 8806
> http://www.gwdg.de/~cscherb1
>
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-- 
Joshua Wiley
Ph.D. Student, Health Psychology
University of California, Los Angeles
http://joshuawiley.com/
Senior Analyst - Elkhart Group Ltd.
http://elkhartgroup.com