[R] re gression with multiple dependent variables?

[Daniel Malter]

Hi, cbind the dependent variables such as in:

x=rnorm(100)
e1=rnorm(100)
e2=rnorm(100)
e3=rnorm(100)

y1=2*x+e1
y2=-1*x+e2
y3=0.7*x+e3

reg=lm(cbind(y1,y2,y3)~x)
summary(reg)

Cheers,
Daniel 


-------------------------
cuncta stricte discussurus
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-----Ursprüngliche Nachricht-----
Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im
Auftrag von Rnewb
Gesendet: Tuesday, October 27, 2009 9:44 PM
An: r-help at r-project.org
Betreff: [R] re gression with multiple dependent variables?


i have a series of regressions i need to run where everything is the same
except for the dependent variable, e.g.:

lm(y1 ~ x1+x2+x3+x4+x5, data=data)
lm(y2 ~ x1+x2+x3+x4+x5, data=data)
lm(y3 ~ x1+x2+x3+x4+x5, data=data)

is it possible to run all these regs with a single command?  given that the
bulk of the work for linear regressions is inverting a matrix that depends
only on the independent variables, it seems like a waste to do it over and
over for each new dependent variable.

thanks,
Rnewb
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