In the modelr package the function gather_predictions can be used to add predictions from multiple models to a data frame, I'm however unsure on how to specify these models in the function call. The help documentation gives the following exmaple:
df <- tibble::data_frame(
x = sort(runif(100)),
y = 5 * x + 0.5 * x ^ 2 + 3 + rnorm(length(x))
)
m1 <- lm(y ~ x, data = df)
grid <- data.frame(x = seq(0, 1, length = 10))
grid %>% add_predictions(m1)
m2 <- lm(y ~ poly(x, 2), data = df)
grid %>% spread_predictions(m1, m2)
grid %>% gather_predictions(m1, m2)
here the models are specifically mentioned in the function call. That works fine if we have a few models we want predictions for, but what if we have a large or unknown amount of models? In this case manually specifying the models isn't really workable anymore.
the way the help documentation phrases the arguments segment seems to suggest you need to add every model as a separate argument.
gather_predictions and spread_predictions take multiple models. The
name will be taken from either the argument name of the name of the
model.
And for example inputting a list of models into gather_predictions doesn't work.
Is there some easy way to input a list / large amount of models to gather_predictions?
example for 10 models in a list:
modelslist <- list()
for (N in 1:10) {
modelslist[[N]] <- lm(y ~ poly(x, N), data = df)
}
If having the models stored some other way than a list works better, that's fine as well.
m <- grid %>% gather_predictions(lm(y ~ poly(x, 1), data = df))
for (N in 2:10) {
m <- rbind(m, grid %>% gather_predictions(lm(y ~ poly(x, N), data = df)))
}
There are workarounds to solve this problem. My approach was to:
1. build a list of models with specific names
2. use a tweaked version of modelr::gather_predictions() to apply all models in the list to data
# prerequisites
library(tidyverse)
set.seed(1363)
# I'll use generic name 'data' throughout the code, so you can easily try other datasets.
# for this example I'll use your data df
data=df
# data visualization
ggplot(data, aes(x, y)) +
geom_point(size=3)
your sample data
# build a list of models
models <-vector("list", length = 5)
model_names <- vector("character", length=5)
for (i in 1:5) {
modelformula <- str_c("y ~ poly(x,", i, ")", sep="")
models[[i]] <- lm(as.formula(modelformula), data = data)
model_names[[i]] <- str_c('model', i) # remember we name the models here sequantially
}
# apply names to the models list
names(models) <- model_names
# this is modified verison of modelr::gather_predictions() in order to accept list of models
gather.predictions <- function (data, models, .pred = "pred", .model = "model")
{
df <- map2(models, .pred, modelr::add_predictions, data = data)
names(df) <- names(models)
bind_rows(df, .id = .model)
}
# the rest is the same as modelr's function...
grids <- gather.predictions(data = data, models = models, .pred = "y")
ggplot(data, aes(x, y)) +
geom_point() +
geom_line(data = grids, colour = "red") +
facet_wrap(~ model)
example of polynomial models (degree 1:5) applied to your sample data
side note: there are good reasons why I chose strings to build the model...to discuss.
Related
I have seen an example of list apply (lapply) that works nicely to take a list of data objects,
and return a list of regression output, which we can pass to Stargazer for nicely formatted output.
Using stargazer with a list of lm objects created by lapply-ing over a split data.frame
library(MASS)
library(stargazer)
data(Boston)
by.river <- split(Boston, Boston$chas)
class(by.river)
fit <- lapply(by.river, function(dd)lm(crim ~ indus,data=dd))
stargazer(fit, type = "text")
What i would like to do is, instead of passing a list of datasets to do the same regression on each data set (as above),
pass a list of independent variables to do different regressions on the same data set. In long hand it would look like this:
fit2 <- vector(mode = "list", length = 2)
fit2[[1]] <- lm(nox ~ indus, data = Boston)
fit2[[2]] <- lm(crim ~ indus, data = Boston)
stargazer(fit2, type = "text")
with lapply, i tried this and it doesn't work. Where did I go wrong?
myvarc <- c("nox","crim")
class(myvarc)
myvars <- as.list(myvarc)
class(myvars)
fit <- lapply(myvars, function(dvar)lm(dvar ~ indus,data=Boston))
stargazer(fit, type = "text")
Consider creating dynamic formulas from string:
fit <- lapply(myvars, function(dvar)
lm(as.formula(paste0(dvar, " ~ indus")),data=Boston))
This should work:
fit <- lapply(myvars, function(dvar) lm(eval(paste0(dvar,' ~ wt')), data = Boston))
You can also use a dplyr & purrr approach, keep everything in a tibble, pull out what you want, when you need it. No difference in functionality from the lapply methods.
library(dplyr)
library(purrr)
library(MASS)
library(stargazer)
var_tibble <- tibble(vars = c("nox","crim"), data = list(Boston))
analysis <- var_tibble %>%
mutate(models = map2(data, vars, ~lm(as.formula(paste0(.y, " ~ indus")), data = .x))) %>%
mutate(tables = map2(models, vars, ~stargazer(.x, type = "text", dep.var.labels.include = FALSE, column.labels = .y)))
You can also use get():
# make a list of independent variables
list_x <- list("nox","crim")
# create regression function
my_reg <- function(x) { lm(indus ~ get(x), data = Boston) }
# run regression
results <- lapply(list_x, my_reg)
It is possible to use anova on multible models stored in a tibble without listing them manually.
An example prediction of wage from age in Wage dataset from the ISLR2 library. I have a tibble a column for polynomial degrees in one column, GLM models in another and CV errors in the third column.
I can use anova through do.call but it does not show p-values without passing test = 'F' as an argument.
library(ISLR2)
library(tidyverse)
library(boot)
GLM <- function(n) {
result <- glm(wage ~ poly(age, n), data = Wage)
return(result)
}
CV <- function(n) {
glm_fit <- glm(wage ~ poly(age, n), data = Wage)
result <- cv.glm(Wage, glm_fit, K = 10)$delta[1]
return(result)
}
set.seed(1)
models <- tibble(polynom_degrees = 1:10) %>%
mutate(linear_model = map(polynom_degrees, GLM)) %>%
mutate(CV_error = map(polynom_degrees, CV)) %>%
mutate(CV_error = unlist(CV_error))
do.call(anova, models$linear_model)
I want to create a function which will perform panel regression with 3-level dummies included.
Let's consider within model with time effects :
library(plm)
fit_panel_lr <- function(y, x) {
x[, length(x) + 1] <- y
#adding dummies
mtx <- matrix(0, nrow = nrow(x), ncol = 3)
mtx[cbind(seq_len(nrow(mtx)), 1 + (as.integer(unlist(x[, 2])) - min(as.integer(unlist(x[, 2])))) %% 3)] <- 1
colnames(mtx) <- paste0("dummy_", 1:3)
#converting to pdataframe and adding dummy variables
x <- pdata.frame(x)
x <- cbind(x, mtx)
#performing panel regression
varnames <- names(x)[3:(length(x))]
varnames <- varnames[!(varnames == names(y))]
form <- paste0(varnames, collapse = "+")
x_copy <- data.frame(x)
form <- as.formula(paste0(names(y), "~", form,'-1'))
params <- list(
formula = form, data = x_copy, model = "within",
effect = "time"
)
pglm_env <- list2env(params, envir = new.env())
model_plm <- do.call("plm", params, envir = pglm_env)
model_plm
}
However, if I use data :
data("EmplUK", package="plm")
dep_var<-EmplUK['capital']
df1<-EmplUK[-6]
In output I will get :
> fit_panel_lr(dep_var, df1)
Model Formula: capital ~ sector + emp + wage + output + dummy_1 + dummy_2 +
dummy_3 - 1
<environment: 0x000001ff7d92a3c8>
Coefficients:
sector emp wage output
-0.055179 0.328922 0.102250 -0.002912
How come that in formula dummies are considered and in coefficients are not ? Is there any rational explanation or I did something wrong ?
One point why you do not see the dummies on the output is because they are linear dependent to the other data after the fixed-effect time transformation. They are dropped so what is estimable is estimated and output.
Find below some (not readily executable) code picking up your example from above:
dat <- cbind(EmplUK, mtx) # mtx being the dummy matrix constructed in your question's code for this data set
pdat <- pdata.frame(dat)
rhs <- paste(c("emp", "wage", "output", "dummy_1", "dummy_2", "dummy_3"), collapse = "+")
form <- paste("capital ~" , rhs)
form <- formula(form)
mod <- plm(form, data = pdat, model = "within", effect = "time")
detect.lindep(mod$model) # before FE time transformation (original data) -> nothing offending
detect.lindep(model.matrix(mod)) # after FE time transformation -> dummies are offending
The help page for detect.lindep (?detect.lindep is included in package plm) has some more nice examples on linear dependence before and after FE transformation.
A suggestion:
As for constructing dummy variables, I suggest to use R's factor with three levels and not have the dummy matrix constructed yourself. Using a factor is typically more convinient and less error prone. It is converted to the binary dummies (treatment style) by your typical estimation function using the model.frame/model.matrix framework.
I want to write a function that would take a lm model, try to add some feature and test its statistical significance. I've give it a go with the code as follows:
library(rlang)
library(tidyverse)
dataset <- data.frame(y = rnorm(100, 2, 3),
x1 = rnorm(100, 0, 4),
x2 = rnorm(100, 2, 1),
x3 = rnorm(100, 9, 1))
model1 <- lm(y ~ ., data = dataset)
dataset2 <- dataset %>%
mutate(x10 = rnorm(100, 20, 9),
x11 = rnorm(100, 3, 3))
test_var <- function(data, var, model){
y_name <- names(model$model)[1]
dataset_new <- data %>%
select_at(vars(y_name,
str_remove_all(labels(model), '`'),
var))
model_new <- lm(y_name ~ ., data = dataset_new)
return(summary(model_new))
}
As you can notice, to create a new model from available dataset I need to specify which variable should be dependent variable. However, I don't know this name directly, I just need to pull it out from the original model. So I did it in a function above, but it results in an error:
Error in model.frame.default(formula = y_name ~ ., data = dataset_new, :
variable lengths differ (found for 'y')
Correct me if I'm wrong but I believe this is due to y_name being a string, not a symbol. So I have tried the following editions:
test_var <- function(data, var, model){
y_name <- sym(names(model$model)[1])
dataset_new <- data %>%
select_at(vars(!!y_name,
str_remove_all(labels(model), '`'),
var))
model_new <- lm(eval(y_name) ~ ., data = dataset_new)
return(summary(model_new))
}
Although it seems to work, the resulting model is a perfect fit, as y is taken not only as dependent variable, but also as one of the features. Specifying formula with eval(y_name) ~ . - eval(y_name) doesn't help here. So my question is: how should I pass the dependent variable name to lm formula to build a correct model?
Since dataset_new contains the dependent variable in the first column, you may in fact use simply
lm(dataset_new)
I have seen an example of list apply (lapply) that works nicely to take a list of data objects,
and return a list of regression output, which we can pass to Stargazer for nicely formatted output.
Using stargazer with a list of lm objects created by lapply-ing over a split data.frame
library(MASS)
library(stargazer)
data(Boston)
by.river <- split(Boston, Boston$chas)
class(by.river)
fit <- lapply(by.river, function(dd)lm(crim ~ indus,data=dd))
stargazer(fit, type = "text")
What i would like to do is, instead of passing a list of datasets to do the same regression on each data set (as above),
pass a list of independent variables to do different regressions on the same data set. In long hand it would look like this:
fit2 <- vector(mode = "list", length = 2)
fit2[[1]] <- lm(nox ~ indus, data = Boston)
fit2[[2]] <- lm(crim ~ indus, data = Boston)
stargazer(fit2, type = "text")
with lapply, i tried this and it doesn't work. Where did I go wrong?
myvarc <- c("nox","crim")
class(myvarc)
myvars <- as.list(myvarc)
class(myvars)
fit <- lapply(myvars, function(dvar)lm(dvar ~ indus,data=Boston))
stargazer(fit, type = "text")
Consider creating dynamic formulas from string:
fit <- lapply(myvars, function(dvar)
lm(as.formula(paste0(dvar, " ~ indus")),data=Boston))
This should work:
fit <- lapply(myvars, function(dvar) lm(eval(paste0(dvar,' ~ wt')), data = Boston))
You can also use a dplyr & purrr approach, keep everything in a tibble, pull out what you want, when you need it. No difference in functionality from the lapply methods.
library(dplyr)
library(purrr)
library(MASS)
library(stargazer)
var_tibble <- tibble(vars = c("nox","crim"), data = list(Boston))
analysis <- var_tibble %>%
mutate(models = map2(data, vars, ~lm(as.formula(paste0(.y, " ~ indus")), data = .x))) %>%
mutate(tables = map2(models, vars, ~stargazer(.x, type = "text", dep.var.labels.include = FALSE, column.labels = .y)))
You can also use get():
# make a list of independent variables
list_x <- list("nox","crim")
# create regression function
my_reg <- function(x) { lm(indus ~ get(x), data = Boston) }
# run regression
results <- lapply(list_x, my_reg)