Karla

You might better ask on r-help list, as this is not directly a topic 
related to finance.

Secondly, please provide a minimal self-reproducible example, here we 
have no idea what mydata is...

Now trying to answer your question... Here assuming that the example in 
pls is enough:
library(pls)
data(oliveoil)
sens.pcr <- pcr(sensory ~ chemical, ncomp = 4, scale = TRUE, data = 
oliveoil)

it looks indeed that there is no standard error provided:
class(sens.pcr)
[1] "mvr"
 > methods(class="mvr")
  [1] biplot.mvr       coef.mvr         fitted.mvr       model.frame.mvr
  [5] model.matrix.mvr MSEP.mvr         plot.mvr         predict.mvr
  [9] predplot.mvr     print.mvr        residuals.mvr    RMSEP.mvr
[13] summary.mvr

And I am not sure it is simply an OLS regression on the extracted 
factors... indeed, the help file claims rather to be a svd... If it is 
ols though, one maybe possible way to explore to obtain standard errors 
would be to fit the ols with lm() on the model response: sens.pcr$model

Hope this helps

Matthieu




Le 14. 10. 10 16:20, karla hernandez villafuerte a écrit :
>
> Dear Members:
>
> I am trying to applied a Principal Component Regression using the pls package and the next formula:
>
> PCA<-pcr(Beta~XCT+XCLa+XCLb+XCLc+XCLd+XCLe+XCLf+XCLg+XCLh,
> data=mydata,ncomp=15,validation="LOO",method="svdpc", model=TRUE, y=TRUE, x=TRUE)
>
> where XCT is a matrix of cuantitatives variables and each one of  XCL are cualitatives variables.
>
> I can estimate the coefficient matrix using:
>
> coef(PCA,comps=5)
>
> As far I understand, the PCR perform a multilple regression analysis of the response variable against the reduced set of principal components, using OLS. The results coefficients are transformed into a new set of coefficients (those in coef(PCA,comps=5)) that correspond to a mathematic transformation of the original ones.
>
> My question is: Can I see the t values for the final coefficents estimated in coef(PCA,comps=5) or can I have the results of the OLS equation?. In other case which is the best way to analyse the significance of the variables?
>
> Thanks!!
>
> Karla Hernández Villafuerte
>
>    		 	   		
> 	[[alternative HTML version deleted]]
>
>    
>
>
> _______________________________________________
> R-SIG-Finance@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.


	[[alternative HTML version deleted]]

