[R] rms package: output interpretation

T.Riedle tr206 at kent.ac.uk
Fri Mar 25 14:31:51 CET 2016


Hi everybody,

I am trying to run a logistic regression using the rms package. Here is the output of my model.

Logistic Regression Model

lrm(formula = stock.market.crash ~ crash.t.1.to.t.L + MA.inflator.monthly +
    realized.volatility.10 + MA.MP.100 + MA.UI.100 + MA.DEI.100 +
    MA.UPR.100, data = FDL.model_monthly)
                     Model Likelihood     Discrimination    Rank Discrim.
                        Ratio Test            Indexes          Indexes
Obs            45    LR chi2     21.57    R2       0.529    C       0.889
 0             30    d.f.            7    g        2.789    Dxy     0.778
 1             15    Pr(> chi2) 0.0030    gr      16.267    gamma   0.778
max |deriv| 6e-06                         gp       0.340    tau-a   0.354
                                          Brier    0.131

                       Coef      S.E.     Wald Z Pr(>|Z|)
Intercept               -11.6543   5.9683 -1.95  0.0509
crash.t.1.to.t.L         -4.5335   2.5705 -1.76  0.0778
MA.inflator.monthly      -2.4400   1.2735 -1.92  0.0554
realized.volatility.10   24.7952  10.3298  2.40  0.0164
MA.MP.100                 6.9404   4.1511  1.67  0.0945
MA.UI.100              -125.7101  54.5219 -2.31  0.0211
MA.DEI.100              519.9589 255.0241  2.04  0.0415
MA.UPR.100                2.6938   2.2209  1.21  0.2252


I am a bit confused regarding the interpretation of the chi2 and its p-value. Can anybody help me interpret the results? I get a high R2 but chi2 seems to be significant and high. How do I interpret these results in the rms package?

Thanks in advance.

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