[R] Coefficients from LM

Pablo Gonzalez ssrnmail at gmail.com
Thu Sep 15 22:08:59 CEST 2005

Hi everyone,

Can anyone tell me if its possibility to extract the coefficients from the
lm() command?
For instance, imagine that we have the following data set (the number of
observations for each company is actually larger than the one showed...):

Company	Y	X1	X2
1		y_1	x1_1	x2_1
1		y_2	x1_2	x2_2
1		y_3	x1_3	x2_3
2		y_4	x1_4	x2_4
2		y_5	x1_5	x2_5	
2		y_6	x1_6	x2_6
n		y_n	x1_n	x2_n
n		y_n1	x1_n1	x2_n1
n		y_n2	x1_n2	x2_n2

I need to run a regression of Y=b0+b1*X1+b2*X2 for EACH company in the
dataset and then retrieve the coefficients for each regression obtained (and
t-stats and R^2) for each company and put it in another dataset/table. The
procedure can be done easily done with a loop statement, but i need to
retrieve each individual coefficient, t-stat, R^2, etc... I know that, using
the $coefficients command will return the vector of coeffcients but I'm
having trouble to assignt it to the correct row in the final dataset.
Furthermore, I can't find any way of retrieving the R^2 and t-stats...

Thanks for any help,


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