On Sat, 13 Dec 2008, Stas Kolenikov wrote:
Those commands provide point estimates, standard errors and confidence
intervals based on linear combination of parameters or
linearization/delta-method, respectively. R's contrasts appear to be
limited to a single factor and combinations that sum up to zero.
I am too so used to this Stata's concept, I now think it's odd R does
not seem to have it readily identifiable in two-three search commands.
And I would not believe R does not have this functionality, it must be
hiding somewhere! :))
It really depends on the class of models, e.g. se.contrast() applies to
aov models, including multistratum ones.
In general (as it is generic) vcov() provides a good starting point.
For linear models there are lots of approaches in contributed packages.
(E.g. gmodels::estimable, car::linear.hypothesis, the effects package.)
That said, I find myself needing this very rarely. Two general principles
may help
1) set up models so the quantities of interest are parameters (and for
linearly-parametrized models, use C() and contrasts() to do so).
2) Interesting quantities from models are almost always based on
predictions, and hence most often only linear combinations of parameters
in linear models. Simulation is a good way to assess the uncertainty of
such quantities.
On 12/13/08, David Winsemius <dwinsem...@comcast.net> wrote:
On Dec 12, 2008, at 11:14 AM, Marc Marí Dell'Olmo wrote:
Hello all,
Does anyone know if there exists any function in R that resembles the
"lincom" and "nlcom" of STATA?. These functions computes point
estimates, standard errors, significance levels, confidence intervals,
etc. for linear and non linear combinations of previous estimated
parameters. Down here you've got links to descriptions of the
functions of STATA
nlcom:
http://www.stata.com/help.cgi?nlcom
lincom:
http://www.stata.com/help.cgi?lincom
I did not find a description of the mathematical operations that let me
understand exactly what lincom is doing, but suspect that you should be
looking at how R handles contrasts. The help pages reference ch 2 of
"Statistical Models in S". The search at the console prompt would be:
?C
?contrasts
?se.contrast
?model.tables
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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Brian D. Ripley, rip...@stats.ox.ac.uk
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