# linearHypothesis

3 messages
Open this post in threaded view
|

## linearHypothesis

 Dear R-users, I am using the R-function "linearHypothesis" to test if the sum of all parameters, but the intercept, in a multiple linear regression is different from zero. I wonder if it is statistically valid to use the  linearHypothesis-function for this? Below is a reproducible example in R. A multiple regression: y = beta0*t0+beta1*t1+beta2*t2+beta3*t3+beta4*t4 It seems to me that the linearHypothesis function does the calculation as an F-test on the extra residuals when going from the starting model to a 'subset' model, although all variables in the 'subset' model differ from the variables in the starting model. I normally think of a subset model as a model built on the same input data as the starting model but one variable. Hence, is this a valid calculation? Thanks in advance,Johan # R-code: y <- c(101133190,96663050,106866486,97678429,83212348,75719714,77861937,74018478,82181104,68667176,64599495,62414401,63534709,58571865,65222727,60139788, 63355011,57790610,55214971,55535484,55759192,49450719,48834699,51383864,51250871,50629835,52154608,54636478,54942637) data <- data.frame(y,"t0"=1,"t1"=1990:2018,"t2"=c(rep(0,12),1:17),"t3"=c(rep(0,17),1:12),"t4"=c(rep(0,23),1:6)) model <- lm(y~t0+t1+t2+t3+t4+0,data=data) linearHypothesis(model,"t1+t2+t3+t4=0",test=c("F")) # Reproduce the result from linearHypothesis: # beta1+beta2+beta3+beta4=0 -> beta4=-(beta1+beta2+beta3) -> # y=beta0+beta1*t1+beta2*t2+beta3*t3-(beta1+beta2+beta3)*t4 # y = beta0'+beta1'*(t1-t4)+beta2'*(t2-t4)+beta3'*(t3-t4) data\$t1 <- data\$t1-data\$t4 data\$t2 <- data\$t2-data\$t4 data\$t3 <- data\$t3-data\$t4 model_reduced <- lm(y~t0+t1+t2+t3+0,data=data) anova(model_reduced,model) -- Johan Lassen "In the cities people live in time - in the mountains people live in space" (Budistisk munk).         [[alternative HTML version deleted]] ______________________________________________ [hidden email] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.