[英]Function in R that computes heteroskedasticity-robust confidence intervals for a linear regression
Good afternoon, I have a question regarding my function down below.下午好,我对下面的 function 有疑问。 The task is to develop a function in R that computes heteroskecasticity-robust confidence intervals for the results of the betas of a linear regression.任务是在 R 中开发一个 function,用于计算线性回归的 beta 结果的异方差稳健置信区间。
As I have tried to do so, my function does not return any output.正如我试图这样做的那样,我的 function 没有返回任何 output。 The console simply doesn´t do anything after trying to get some results from it.控制台在尝试从中获得一些结果后根本不做任何事情。 I really argue why especially if I compute it manually by the last two rows of my code it works out all fine.我真的很争论为什么特别是如果我通过代码的最后两行手动计算它,它工作得很好。 Even though you dont have the necessary data.frames, perhaps you can take a look at my code and tell me what is wrong about it or propose an alternative way to solve my problem:)即使您没有必要的 data.frames,也许您可以查看我的代码并告诉我它有什么问题或提出解决我的问题的替代方法:)
For clarity: the original numerous values (using all 200 data points each) of the coefficients are c(463.2121, 139.5762), the stdHC are c(74.705054, 5.548689) as given by the lm model and for HC-robust standard errors I use the package sandwich.为了清楚起见:系数的原始众多值(每个使用所有 200 个数据点)是 c(463.2121, 139.5762),stdHC 是 c(74.705054, 5.548689),由 lm model 给出,对于 HC-robust 标准错误我使用package 三明治。
my_CI <- function (mod, level = 0.95)
{
`%>%` <- magrittr::`%>%`
standard_deviation <- stderrorHC
Margin_Error <- abs(qnorm((1-0.95)/2))*standard_deviation
df_out <- data.frame(stderrorHC, mod,Margin_Error=Margin_Error,
'CI lower limit'=(mod - Margin_Error),
'CI Upper limit'=(mod + Margin_Error)) %>%
return(df_out)
}
my_CI(mod, level = 0.95) #retrieving does not return any results for me
Definitions:
women <- read.table("women.txt")
men <- read.table("men.txt")
converged <- merge(women, men, all = TRUE)
level <- c(0.95, 0.975)
modell <- lm(formula = loan ~ education, data = converged)
mod <- modell$coefficients
vcov <- vcovHC(modell, type = "HC1")
stderrorHC <- sqrt(diag(vcov))
mod - abs(qnorm((1-level[1])/2))*stderrorHC
mod + abs(qnorm((1-level[1])/2))*stderrorHC
Addition: Here is some data from the original dataset.补充:这是原始数据集中的一些数据。 I included just ten data points so we would need to construct the confidence interval upon the t-distributon in this case.我只包括了十个数据点,因此在这种情况下,我们需要在 t 分布上构建置信区间。
dataMenEductaion <- c(12, 17, 16, 11, 20, 20 , 11, 19, 15, 16)
dataMenLoan <- c(2404.72, 3075.313, 2769.543, 2009.295, 3105.121, 4269.216
2213.730, 4025.136, 2605.191, 2760.186)
dataWomenEducation <- c(12, 14, 16, 19 , 12, 19, 20, 17, 16, 10)
dataWomenLoan <- c(1920.667, 2278.255, 2296.804, 2977.048, 1915.740, 3557.991,
3336.683, 2923.040, 2628.351, 1918.218)
I believe that the following provides you with the desired output.相信下面为您提供了想要的output。
# install.packages('sandwich')
library(sandwich) # contains vcovHC()
# data
df <- data.frame(education = c(12, 17, 16, 11, 20, 20, 11, 19, 15, 16,
12, 14, 16, 19 , 12, 19, 20, 17, 16, 10),
loan = c(2404.72, 3075.313, 2769.543, 2009.295, 3105.121, 4269.216,
2213.730, 4025.136, 2605.191, 2760.186,
1920.667, 2278.255, 2296.804, 2977.048, 1915.740, 3557.991,
3336.683, 2923.040, 2628.351, 1918.218))
df$sex <- factor(gl(2, nrow(df)/2, labels = c('males', 'females')))
# linear model
fit <- lm(loan ~ education + sex, data = df)
coefs <- fit$coefficients
vcov <- vcovHC(fit, type = "HC1")
stderrorHC <- sqrt(diag(vcov))
# function to compute robust SEs
my_CIs <- function (coefs, level = 0.95) {
standard_deviation <- stderrorHC
Margin_Error <- abs( qnorm( (1-level)/ 2) ) * standard_deviation
df_out <- data.frame(stderrorHC, coefs, Margin_Error = Margin_Error,
'CI lower limit' = (coefs - Margin_Error),
'CI Upper limit' = (coefs + Margin_Error))
return(df_out)
}
Output Output
> my_CIs(coefs = coefs)
stderrorHC coefs Margin_Error CI.lower.limit CI.Upper.limit
(Intercept) 295.86900 160.3716 579.89259 -419.5210 740.26416
education 23.64313 176.0111 46.33968 129.6714 222.35073
sexfemales 132.07169 -313.2632 258.85576 -572.1189 -54.40743
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