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    HW 5

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    22319111
    The document shows the steps to perform a linear regression on a dataset with 8 observations. Matrices are created for the dependent and independent variables. The regression is calculated manually and compared to using the lm function. Coefficients, standard errors, t-stats, p-values and confidence intervals are estimated.

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    HW 5

    Uploaded by

    22319111
    10 views3 pages
    The document shows the steps to perform a linear regression on a dataset with 8 observations. Matrices are created for the dependent and independent variables. The regression is calculated manually and compared to using the lm function. Coefficients, standard errors, t-stats, p-values and confidence intervals are estimated.

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    r programing matrix

    Original Title

    hw5 (2)

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    The document shows the steps to perform a linear regression on a dataset with 8 observations. Matrices are created for the dependent and independent variables. The regression is calculated manually and compared to using the lm function. Coefficients, standard errors, t-stats, p-values and confidence intervals are estimated.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    10 views3 pages

    HW 5

    Uploaded by

    22319111
    The document shows the steps to perform a linear regression on a dataset with 8 observations. Matrices are created for the dependent and independent variables. The regression is calculated manually and compared to using the lm function. Coefficients, standard errors, t-stats, p-values and confidence intervals are estimated.

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    Qusay abusaymeh

    hw5
    > y<-matrix(c(25,31,27,28,36,35,32,34),ncol = 1)
    >y
    [,1]
    [1,] 25
    [2,] 31
    [3,] 27
    [4,] 28
    [5,] 36
    [6,] 35
    [7,] 32
    [8,] 34
    > x<-matrix(c(1,1,1,1,1,1,1,1,1,1.5,2,2.5,3,3.5,4,4.5),ncol = 2, nrow = 8)
    >x
    [,1] [,2]
    [1,] 1 1.0
    [2,] 1 1.5
    [3,] 1 2.0
    [4,] 1 2.5
    [5,] 1 3.0
    [6,] 1 3.5
    [7,] 1 4.0
    [8,] 1 4.5
    > yty<-t(y)%*%y
    > yty
    [,1]
    [1,] 7800
    > xtx<-t(x)%*%x
    > xtx
    [,1] [,2]
    [1,] 8 22
    [2,] 22 71
    > xtx_inv<- solve(xtx)
    > xtx_inv
    [,1] [,2]
    [1,] 0.8452381 -0.2619048
    [2,] -0.2619048 0.0952381
    > beta_vec<-xtx_inv%*% t(x)%*%y
    > beta_vec
    [,1]
    [1,] 24.452381
    [2,] 2.380952
    > mse<-(yty-t(beta_vec)%*%t(x)%*%y)/(length(y)-2)
    > mse
    [,1]
    [1,] 8.746032
    > c_vec<- matrix(c(0,1) ,nrow = 1)
    > c_vec
    [,1] [,2]
    [1,] 0 1
    > beta1<-c_vec%*%beta_vec
    > beta1
    [,1]
    [1,] 2.380952
    > cc_vec<- matrix(c(1,0) ,nrow = 1)
    > beta0<-cc_vec%*%beta_vec
    > beta0
    [,1]
    [1,] 24.45238
    > varb1<- c_vec%*%xtx_inv%*%t(c_vec)*as.numeric(mse)
    > varb1
    [,1]
    [1,] 0.8329554
    > t_stat<-beta1/sqrt(varb1)
    > t_stat
    [,1]
    [1,] 2.608794
    > pval1<-2*(1-pt(t_stat,df = length(y)-2))
    > pval1
    [,1]
    [1,] 0.04018534
    > lci<-beta1-qt(0.975,2)*sqrt(varb1)
    > uci<-beta1+qt(0.975,2)*sqrt(varb1)
    > c(lci,uci)
    [1] -1.545923 6.307828
    > modl<-lm(y~x)
    > modl

    Call:
    lm(formula = y ~ x)

    Coefficients:
    (Intercept) x1 x2
    24.452 NA 2.381

    > summary(modl)

    Call:
    lm(formula = y ~ x)

    Residuals:
    Min 1Q Median 3Q Max
    -2.405 -2.036 -1.500 2.405 4.405

    Coefficients: (1 not defined because of singularities)


    Estimate Std. Error t value Pr(>|t|)
    (Intercept) 24.4524 2.7189 8.993 0.000106 ***
    x1 NA NA NA NA
    x2 2.3810 0.9127 2.609 0.040185 *
    ---
    Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

    Residual standard error: 2.957 on 6 degrees of freedom


    Multiple R-squared: 0.5315, Adjusted R-squared: 0.4534
    F-statistic: 6.806 on 1 and 6 DF, p-value: 0.04019

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