Check out:
http://tolstoy.newcastle.edu.au/R/e2/help/07/05/17714.html
On Mon, Jun 15, 2009 at 9:26 AM, Cecilia Carmo<cecilia.ca...@ua.pt> wrote:
> Hi everyone, my data is in a dataframe similar to this but with more firms,
> more industries, more years and variables that correspond to financial
> information:
>
>> firm<-c(rep(1,4),rep(2,4),rep(3,4),rep(4,4))
>> year<-c(rep(2000:2003,4))
>> industry<-c(rep(10,4),rep(20,4),rep(10,4),rep(30,4))
>> X1<-c(10,14,18,16,20,45,23,54,24,67,98,58,76,34,23,89)
>> X2<-c(11,46,89,36,72,78,55,44,22,78,53,25,12,45,87,23)
>> Y<-c(12,45,32,69,87,54,33,22,89,66,35,23,15,54,67,87)
>> data<-data.frame(firm, industry,year,Y,X1,X2)
>> data
>> firm industry year Y X1 X2
>
> 1 10 2000 12 10 11
> 1 10 2001 45 14 46
> 1 10 2002 32 18 89
> 1 10 2003 69 16 36
> 2 20 2000 87 20 72
> 2 20 2001 54 45 78
> 2 20 2002 33 23 55
> 2 20 2003 22 54 44
> 3 10 2000 89 24 22
> 3 10 2001 66 67 78
> 3 10 2002 35 98 53
> 3 10 2003 23 58 25
> 4 30 2000 15 76 12
> 4 30 2001 54 34 45
> 4 30 2002 67 23 87
> 4 30 2003 87 89 23
>
> I need to obtain the coefficients and the statistics by year and by
> industry, for the lm function:
> ff<-Y~b1 + b2.X1 + b3.X3
>
> So what I’ve done was: subset the dataframe by year, so I have 3 dataframes
> corresponding to the 3 years (dataframe2000, dataframe2001, … ) and then I
> applied a function that I’ve found in R-help mails:
> coef2000<-as.data.frame(t(sapply(split(dataframe2000,dataframe2000$industry),function(x){coef(lm(ff,data=x))})))
>
> I need help in two ways:
> First: I’d like to have in the dataframe of the coefficients more statistics
> information that helps me to understand the significance of the
> coefficients; and
> Second: Is that possible to obtain this output for all years at once?
> Thanks in advance,
> Cecília Carmo (Universidade de Aveiro – Portugal)
>
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>
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