Thanks for your answer!
Actually, the reason to include it manually was that the function I
wanted to create should have args like:
type=c("const", "trend", "both", "none") and so was easier to create a
matrix and simply put
lm(y~-1+datamat)
But following your advices I think rather change that approach and will use:
reg<-if(any(c("const", "both") %in% type)){
lm(y ~ 1 + . -const, data = datamat) #there is const, use internal one
and remove from datamat
}else {
lm(y ~ -1 + ., data = datamat)}#there is no const, remove default one
So this should avoid the problem mentionned.
Thanks again!
Matthieu
Duncan Murdoch a écrit :
On 28/11/2009 10:14 AM, Matthieu Stigler wrote:
Hi
Say I want to add manually an intercept in the function lm. Even if
almost all results will be identical, few stats are different as DF
counting will be different as intercept will not be included in
"automatic" case, while it will be in "manual" case. See:
###usual lm on freeny
fr<-lm(freeny.y~freeny.x)
###manual lm on freeny
man<-cbind(1,freeny.x)
colnames(man)<-c("const",colnames(freeny.x))
fr_man<-lm(freeny.y~man-1)
###coef are the same
cbind(coef(fr), coef(fr_man))
###but summary output is different (but should be the same!).
Why do you say it should be the same? The residual sum of squares
needs to be calculated against some reference model. When you have
the intercept included automatically, that's an indication that you
want the reference model to include the intercept. When you put "-1"
in your model spec, that's an indication that you don't want to
include it, you want to compare against 0.
If you want to change the conventions, you'll need to write your own
summary.lm function. But it would be easier to just use the standard
convention.
Duncan Murdoch
#Difference comes from fact that in the "automatic case", DF are 4
(intercept not included)
summary(fr)
summary(fr_man)
###Workaround:
attr(fr_man$terms, "intercept") <- 1
##so now:
summary(fr)
summary(fr_man)
###but have negative effect that intercept is used twice in
model.matrix, see:
model.matrix(fr_man)
So I could not find a good way to add manually an intercept and
preserving the right output... any idea?
Thanks a lot!!
Matthieu Stigler
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