Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Ravi Varadhan
?vcov You can use vcov(lm.obj) to extract the covariance matrix, where lm.obj is your fitted object from lm(). Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Prof Brian Ripley
See ?vcov . On Mon, 29 Oct 2007, Peter B. Mandeville wrote: Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Peter Dalgaard
Peter B. Mandeville wrote: Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis for the Behavioral Sciences, Third Edition) on page 273 state the covariance matrix of the regression coefficients is provided by standard programs for multiple

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread A. Beaujean
If X is your p-1 variable matrix (with the first column vector being 1s), i.e., nrow(X)=n and ncol(X)=p then MSE-summary(lm(Y~X[2]+X[3] + ...X[P-1]))$s^2 and your coefficient (co)variance matrix is MSE*ginv(t(X)%*%X) Best, Alex On 10/29/07, Peter B. Mandeville [EMAIL PROTECTED] wrote:

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread John Fox
Dear Peter, See ?vcov. You could have discovered this via help.search(covariance). I hope this helps, John On Mon, 29 Oct 2007 11:30:11 -0600 Peter B. Mandeville [EMAIL PROTECTED] wrote: Greetings, Cohen, Cohen, West, and Aiken 2003 (Applied Multiple Regression-Correlation Analysis

Re: [R] covariance matrix of the regression coefficients

2007-10-29 Thread Doran, Harold
: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of A. Beaujean Sent: Monday, October 29, 2007 4:25 PM To: Peter B. Mandeville Cc: r-help Subject: Re: [R] covariance matrix of the regression coefficients If X is your p-1 variable matrix (with the first column vector being 1s), i.e