Thanks to some comments from Brian D. Ripley, I found my error:
I should not have given a data argument to lm() after creating a
formula-object. This obviously confused things...

Thanks again, I've really learnt again a bit more on R-programming...

Cheers, Winfried 
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E-Mail: Winfried Theis <[EMAIL PROTECTED]>
Date: 29-Jan-03

Dipl.-Math. Winfried Theis
SFB 475, Fachbereich Statistik, Universit"at Dortmund, 44221 Dortmund
Tel.: +49-231-755-5903 FAX: +49-231-755-4387
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