[R] na.action and simultaneous regressions

Bert Gunter gunter.berton at gene.com
Wed Jan 3 22:46:03 CET 2007

As the Help page says:

If response is a matrix a linear model is fitted separately by least-squares
to each column of the matrix

So there's nothing hidden going on "behind the scenes," and
apply(cbind(y1,y2),2,function(z)lm(z~x)) (or an explicit loop, of course)
will produce a list each of whose components is a separate fit using all the
nonmissing data in the column. 

Bert Gunter
Genentech Nonclinical Statistics
South San Francisco, CA 94404

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Talbot Katz
Sent: Wednesday, January 03, 2007 11:56 AM
To: r-help at stat.math.ethz.ch
Subject: [R] na.action and simultaneous regressions


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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