I am quite new to R and I am having trouble figuring out how to select
variables in a multivariate linear regression in R. My google-foo also did
not find anything.

Pretend I have the following formulas:

P = aX + bY
Q = cZ + bY

I have a data frame with column P, Q, X, Y, Z and I need to find a, b and c.

If I do a simple multivariate regression:

result <- lm( cbind( P, Q ) ~ X + Y + Z - 1 )

It calculates a coefficient for "c" on P's regression and for "a" on Q's
regression.

If I calculate the regressions individually then "b" will be different in
each regression.

How can I select the variables to consider in a multivariate regression?
I.e., how do I tell R to ignore cZ when calculating P, and ignore aX when
calculating Q?

Thank you,

Edson


-- 
  Edson Tirelli
  Principal Software Engineer
  Red Hat Business Systems and Intelligence Group

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