Dear Sir or Madam,
I am a student at MSc Probability and Finance at Paris 6 University/
Ecole Polytechnique. I am using R and I can't find an answer to the
following question. I will be very thankful if you can answer it.
I have two vectors rendements_CAC40 and rendements_AlcatelLucent.
I use the lm function as follows, and then the sumarry function:
regression=lm(rendements_CAC40 ~ rendements_AlcatelLucent);
sum=summarry(regression);
I obtain:
Call:
lm(formula = rendements_CAC40 ~ rendements_AlcatelLucent)
Residuals:
Min 1Q Median 3Q Max
-6.43940 -0.84170 -0.01124 0.76235 9.08087
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.03579 0.07113 -0.503 0.615
rendements_AlcatelLucent 0.33951 0.01732 19.608 <2e-16 ***
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
Residual standard error: 1.617 on 515 degrees of freedom
Multiple R-squared: 0.4274, Adjusted R-squared: 0.4263
F-statistic: 384.5 on 1 and 515 DF, p-value: < 2.2e-16
I would like to access to the p-value field, but I can't find the name
of it, as we can see it below:
> names(sum)
[1] "call" "terms" "residuals" "coefficients"
"aliased" "sigma" "df" "r.squared"
[9] "adj.r.squared" "fstatistic" "cov.unscaled"
I thought that I could find it in the fstatistic field, but it is not:
sum$fstatistic
value numdf dendf
384.4675 1.0000 515.0000
Thank in advance for your time,
Kind regards,
Alexandre Cohen
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