Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: stats
See also: linregstep linregfs2 linregopt gls linregbs linregres doglm

Quantlet: linregfs
Description: linregfs computes a simple forward selection for a multiple linear regression model.

Reference(s):

Usage: {xfs,bfs,pvl} = linregfs (x, y {, alpha})
Input:
x n x p regressor variables
y n x 1 dependent variable
alpha scalar level of testing
Output:
xfs n x q
bfs q x 1 the estimated regression coefficients
pvl q x 3 the returned p-values

Note:

Example:

; loads the library stats

library("stats")   

; reset random generator 

randomize(0)

; generate x

x = normal(1000, 3)

; generate y

y = 10*x[,3]+x[,1].*x[,2]

; do the forward selection

{xfs,bfs,pvl}=linregfs(x, y, 0.05)

; print the regression coefficients and test results

bfs~pvl

Result:

Contents of _tmp

[1,]  0.021854        0     +NAN     +NaN 

[2,]   9.9689        3        0   0.8867 

[3,]  0.069415        2  0.017246  0.88256 

The result includes the constant term (always first), the 

third variable and the second variable. The first column

are the regression coefficients. The second column are 

the selected variables (0 means constant term). The 

third column contains the p-values whereas the last

column contains the residual sum of squares divided by

n-#parameters.


Library: stats
See also: linregstep linregfs2 linregopt gls linregbs linregres doglm

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Sigbert Klinke 970514,970820
(C) MD*TECH Method and Data Technologies, 21.9.2000