[R] na.action and simultaneous regressions

Talbot Katz topkatz at msn.com
Wed Jan 3 20:56:21 CET 2007


I am running regressions of several dependent variables using the same set 
of independent variables.  The independent variable values are complete, but 
each dependent variable has some missing values for some observations; by 
default, lm(y1~x) will carry out the regressions using only the observations 
without missing values of y1.  If I do lm(cbind(y1,y2)~x), the default will 
be to use only the observations for which neither y1 nor y2 is missing.  I'd 
like to have the regression for each separate dependent variable use all the 
non-missing cases for that variable.  I would think that there should be a 
way to do that using the na.action option, but I haven't seen this in the 
documentation or figured out how to do it on my own.  Can it be done this 
way, or do I have to code the regressions in a loop?  (By the way, since it 
restricts to non-missing values in all the variables simultaneously, is this 
because it's doing some sort of SUR or other simultaneous equation 
estimation behind the scenes?)


--  TMK  --
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