On 1/5/06 11:27 AM, "Achim Zeileis" <[EMAIL PROTECTED]> wrote:
> As John and myself seem to have written our replies in parallel, hence > I added some more clarifying remarks in this mail: >> Note that the Anova() function, also in car, can more conveniently compute >> Wald tests for certain kinds of hypotheses. More generally, however, I'd be >> interested in your suggestions for an alternative method of specifying >> linear hypotheses. > My understanding was that Peter just wants to eliminate various elements > from the terms(obj) which is what waldtest() in lmtest supports. If some > other way of specifying nested models is required, I'd also be interested > in that. My two most immediate problems were a) to test whether a set of coefficients were jointly zero (as Achim suggests, though the complication here is that the varcov matrix is bootstrapped), but also b) to test whether the average of a set of coefficients was equal to zero. At other points in time, I remember having had to test more complex linear hypotheses involving joint combinations of equality, non-zero, and 'averages.' The Stata interface for linear hypothesis tests is amazingly straightforward. For example, after a regression, I could use the following to test the joint hypothesis that v1=v2 and the average (or sum) of v3 through v5 is zero and .75v6+.25v7 is zero: test v1=v2 test v3+v4+v5=0, accum test .75*v6+.25*v7=0, accum I don't even have to set up a matrix for my test ];-) ! The output would show not merely the joint test of all the hypotheses but the tests along the way, one for each line of commands. I vaguely remember the hypothesis testing command after an ml run is much the same and cross-equation hypothesis tests simply involve adding an equation indicator to the terms. I can get huberized var-cov matrices simply by adding "robust" to the regression command. I believe there's also a command that will huberize a var-cov matrix after the fact. Subsequent hypothesis tests would be on the huberized matrix. I won't claim to know what's good for R or the R community, but it would be nice for me and perhaps others if there were a comparable straightforward command as in Stata that could meet a variety of needs. I need to play w/ the commands that have been suggested to me by you guys recently, but I'm looking at a multitude of commands none of which I suspect have the flexibility and ease of use of the above Stata commands, at least for the kind of applications I'd like. Perhaps the point of R isn't to serve as a package for a wider set of non-statisticians, but if it wishes to develop in that direction, facilities like this may be helpful. It's interesting that Achim points out that a function John suggests is already available in R--an indication that even R experts don't have a complete handle on everything in R even on a relatively straightforward topic like hypothesis tests. John is no doubt right that editorializing about statistics would be out of place on an R help page. But when I have gone to statistical papers, many have been difficult to access & not very helpful for practical concerns. I'm glad to hear that Long and Erwin's paper is helpful, but there's a goodly list of papers mentioned in help. Perhaps something that would be useful is some way of highlighting on a help page which reference is most helpful for practical concerns? Again, thanks for all the great input from everyone! Peter ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html