R function to generate new covariance matrix - r

I am running multiple linear regression models and I would like to loop through the results to subsequently generate robust standard errors. My code currently looks like this, but I want to run multiple models and not have to copy the code for calculating robust standard errors for each model.
# load data
data(mtcars)
# run models
m1 <- lm("mpg ~ wt", data = mtcars)
m2 <- lm("mpg ~ wt + hp", data = mtcars)
# calculate robust standard errors
cov1 <- vcovHC(m1, type = "HC3")
robust_se1 <- sqrt(diag(cov1))
cov2 <- vcovHC(m2, type = "HC3")
robust_se2 <- sqrt(diag(cov2))
How could I write a function to handle this task. I plan to number each model using successive integers, e.g., m1, m2, m3. I have not so far been able to adapt related SO answers for generating variables using a loop, like this one.
Edits: changed to executable code.

Related

Quasi-Poisson mixed-effect model on overdispersed count data from multiple imputed datasets in R

I'm dealing with problems of three parts that I can solve separately, but now I need to solve them together:
extremely skewed, over-dispersed dependent count variable (the number of incidents while doing something),
necessity to include random effects,
lots of missing values -> multiple imputation -> 10 imputed datasets.
To solve the first two parts, I chose a quasi-Poisson mixed-effect model. Since stats::glm isn't able to include random effects properly (or I haven't figured it out) and lme4::glmer doesn't support the quasi-families, I worked with glmer(family = "poisson") and then adjusted the std. errors, z statistics and p-values as recommended here and discussed here. So I basically turn Poisson mixed-effect regression into quasi-Poisson mixed-effect regression "by hand".
This is all good with one dataset. But I have 10 of them.
I roughly understand the procedure of analyzing multiple imputed datasets – 1. imputation, 2. model fitting, 3. pooling results (I'm using mice library). I can do these steps for a Poisson regression but not for a quasi-Poisson mixed-effect regression. Is it even possible to A) pool across models based on a quasi-distribution, B) get residuals from a pooled object (class "mipo")? I'm not sure. Also I'm not sure how to understand the pooled results for mixed models (I miss random effects in the pooled output; although I've found this page which I'm currently trying to go through).
Can I get some help, please? Any suggestions on how to complete the analysis (addressing all three issues above) would be highly appreciated.
Example of data is here (repre_d_v1 and repre_all_data are stored in there) and below is a crucial part of my code.
library(dplyr); library(tidyr); library(tidyverse); library(lme4); library(broom.mixed); library(mice)
# please download "qP_data.RData" from the last link above and load them
## ===========================================================================================
# quasi-Poisson mixed model from single data set (this is OK)
# first run Poisson regression on df "repre_d_v1", then turn it into quasi-Poisson
modelSingle = glmer(Y ~ Gender + Age + Xi + Age:Xi + (1|Country) + (1|Participant_ID),
family = "poisson",
data = repre_d_v1)
# I know there are some warnings but it's because I share only a modified subset of data with you (:
printCoefmat(coef(summary(modelSingle))) # unadjusted coefficient table
# define quasi-likelihood adjustment function
quasi_table = function(model, ctab = coef(summary(model))) {
phi = sum(residuals(model, type = "pearson")^2) / df.residual(model)
qctab = within(as.data.frame(ctab),
{`Std. Error` = `Std. Error`*sqrt(phi)
`z value` = Estimate/`Std. Error`
`Pr(>|z|)` = 2*pnorm(abs(`z value`), lower.tail = FALSE)
})
return(qctab)
}
printCoefmat(quasi_table(modelSingle)) # done, makes sense
## ===========================================================================================
# now let's work with more than one data set
# object "repre_all_data" of class "mids" contains 10 imputed data sets
# fit model using with() function, then pool()
modelMultiple = with(data = repre_all_data,
expr = glmer(Y ~ Gender + Age + Xi + Age:Xi + (1|Country) + (1|Participant_ID),
family = "poisson"))
summary(pool(modelMultiple)) # class "mipo" ("mipo.summary")
# this has quite similar structure as coef(summary(someGLM))
# but I don't see where are the random effects?
# and more importantly, I wanted a quasi-Poisson model, not just Poisson model...
# ...but here it is not possible to use quasi_table function (defined earlier)...
# ...and that's because I can't compute "phi"
This seems reasonable, with the caveat that I'm only thinking about the computation, not whether this makes statistical sense. What I'm doing here is computing the dispersion for each of the individual fits and then applying it to the summary table, using a variant of the machinery that you posted above.
## compute dispersion values
phivec <- vapply(modelMultiple$analyses,
function(model) sum(residuals(model, type = "pearson")^2) / df.residual(model),
FUN.VALUE = numeric(1))
phi_mean <- mean(phivec)
ss <- summary(pool(modelMultiple)) # class "mipo" ("mipo.summary")
## adjust
qctab <- within(as.data.frame(ss),
{ std.error <- std.error*sqrt(phi_mean)
statistic <- estimate/std.error
p.value <- 2*pnorm(abs(statistic), lower.tail = FALSE)
})
The results look weird (dispersion < 1, all model results identical), but I'm assuming that's because you gave us a weird subset as a reproducible example ...

Storing model coefficients in a loop in R

This seems like a very basic problem, but I have not been able to find a solution. I essentially wish to run a linear regression in a for loop and store the model coefficients (and standard errors if possible) for each iteration in an csv file.
For reference, I am running Fama-MacBeth regressions on macroeconomic "shocks," (the residuals of macroeconomic factors regressed on their lagged values).
My code for the loop is as follows
for (i in 7:69){
model <- lm(data = data, data[[i]]~TM2R+IPR+InfR+UnR+OilR)
#Model coefficients
print(model$coefficients)
#Standard Errors in regression results
model$vcov <- vcovHC(model, type = "HC1")
print(model$vcov)
}
You can use the broom package to transform the output from lm() to a data frame, then append the results from vconvHC() to it.
Finally, you export as csv.
library(broom)
library(sandwich)
for (i in 7:69){
model_name <- paste0("model_", i, ".csv")
model_i <- lm(data = data, data[[i]]~TM2R+IPR+InfR+UnR+OilR)
tidy_model <- tidy(model_i)
tidy_model$vcov <- vcovHC(model_i, type = "HC1")
write.csv(tidy_model, file = model_name)
}

Asymptotic regression function not correlating with raw data

I'm trying to model raw data by an asymptotic function with the equation $$f(x) = a + (b-a)(1-\exp(-c x))$$ using R. To do so I used the following code:
rawData <- import("path/StackTestData.tsv")
# executing regression
X <- rawData$x
Y <- rawData$y
model <- drm(Y ~ X, fct = DRC.asymReg())
# creating the regression function
f_0_ <- model$coefficients[1] #value for y if x=0
steepness <- model$coefficients[2]
plateau <- model$coefficients[3]
eq <- function(x){f_0_+(plateau-f_0_)*(1-exp(-steepness*x))}
# plotting the regression function together with the raw data
ggplot(rawData,aes(x=x,y=y)) +
geom_line(col="red") +
stat_function(fun=eq,col="blue") +
ylim(10,12.5)
In some cases, I got a proper regression function. However, with the attached data I don't get one. The regression function is not showing any correlation with the raw data whatsoever, as shown in the figure below. Can you perhaps offer a better solution for performing the asymptotic regression or do you know where the error lies?
Best Max
R4.1.2 was used using R Studio 1.4.1106. For ggplot the package ggpubr, for DRC.asymReg() the packages aomisc and drc were load.

Cluster-Robust Standard Errors in Stargazer

Does anyone know how to get stargazer to display clustered SEs for lm models? (And the corresponding F-test?) If possible, I'd like to follow an approach similar to computing heteroskedasticity-robust SEs with sandwich and popping them into stargazer as in http://jakeruss.com/cheatsheets/stargazer.html#robust-standard-errors-replicating-statas-robust-option.
I'm using lm to get my regression models, and I'm clustering by firm (a factor variable that I'm not including in the regression models). I also have a bunch of NA values, which makes me think multiwayvcov is going to be the best package (see the bottom of landroni's answer here - Double clustered standard errors for panel data - and also https://sites.google.com/site/npgraham1/research/code)? Note that I do not want to use plm.
Edit: I think I found a solution using the multiwayvcov package...
library(lmtest) # load packages
library(multiwayvcov)
data(petersen) # load data
petersen$z <- petersen$y + 0.35 # create new variable
ols1 <- lm(y ~ x, data = petersen) # create models
ols2 <- lm(y ~ x + z, data = petersen)
cl.cov1 <- cluster.vcov(ols1, data$firmid) # cluster-robust SEs for ols1
cl.robust.se.1 <- sqrt(diag(cl.cov1))
cl.wald1 <- waldtest(ols1, vcov = cl.cov1)
cl.cov2 <- cluster.vcov(ols2, data$ticker) # cluster-robust SEs for ols2
cl.robust.se.2 <- sqrt(diag(cl.cov2))
cl.wald2 <- waldtest(ols2, vcov = cl.cov2)
stargazer(ols1, ols2, se=list(cl.robust.se.1, cl.robust.se.2), type = "text") # create table in stargazer
Only downside of this approach is you have to manually re-enter the F-stats from the waldtest() output for each model.
Using the packages lmtest and multiwayvcov causes a lot of unnecessary overhead. The easiest way to compute clustered standard errors in R is the modified summary() function. This function allows you to add an additional parameter, called cluster, to the conventional summary() function. The following post describes how to use this function to compute clustered standard errors in R:
https://economictheoryblog.com/2016/12/13/clustered-standard-errors-in-r/
You can easily the summary function to obtain clustered standard errors and add them to the stargazer output. Based on your example you could simply use the following code:
# estimate models
ols1 <- lm(y ~ x)
# summary with cluster-robust SEs
summary(ols1, cluster="cluster_id")
# create table in stargazer
stargazer(ols1, se=list(coef(summary(ols1,cluster = c("cluster_id")))[, 2]), type = "text")
I would recommend lfe package, which is much more powerful package than lm package. You can easily specify the cluster in the regression model:
ols1 <- felm(y ~ x + z|0|0|firmid, data = petersen)
summary(ols1)
stargazer(OLS1, type="html")
The clustered standard errors will be automatically produced. And stargazer will report the clustered-standard error accordingly.
By the way (allow me to do more marketing), for micro-econometric analysis, felm is highly recommended. You can specify fixed effects and IV easily using felm. The grammar is like:
ols1 <- felm(y ~ x + z|FixedEffect1 + FixedEffect2 | IV | Cluster, data = Data)

Plot each predictor variable from multivariate GLM versus response (other predictors held constant)

I can plot one predictor variable (from a mulitvariate logistic, binomial GLM) versus the predicted response. I do it like this:
m3 <- mtcars # example with mtcars
model = glm(vs~cyl+mpg+wt+disp+drat,family=binomial, data=m3)
newdata <- m3
newdata$cyl <- mean(m3$cyl)
newdata$mpg <- mean(m3$mpg)
newdata$wt <- mean(m3$wt)
newdata$disp <- mean(m3$disp)
newdata$drat <- m3$drat
newdata$vs <- predict(model, newdata = newdata, type = "response")
ggplot(newdata, aes(x = drat, y = vs)) + geom_line()
Above, drat vs vs with all other predictors held constant. However, I would to do this for each of the predictor variables, and doing the above process each time seems tedious. Is there a smarter way to do this? I'd like to visualize the response of each the different predictors and eventually, perhaps, at different constants.
Check the response.plot2 function in the biomod2 package. It was developed to create response curves for species distribution models but it essentially does what you need- it generates a multi pannel plot with responses for each variable used in your model. It also outputs the data into a data structure that can then be used to plot in whichever way you like.

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