[R] car::deltaMethod() fails when a particular combination of categorical variables is not present

John Fox j|ox @end|ng |rom mcm@@ter@c@
Tue Sep 26 17:39:10 CEST 2023


Dear Michael,

My previous response was inaccurate: First, linearHypothesis() *is* able 
to accommodate aliased coefficients by setting the argument singular.ok 
= TRUE:

 > linearHypothesis(minimal_model, "bt2 + csent + bt2:csent = 0",
+                  singular.ok=TRUE)

Linear hypothesis test:
bt2  + csent  + bt2:csent = 0

Model 1: restricted model
Model 2: a ~ b * c

   Res.Df    RSS Df Sum of Sq      F Pr(>F)
1     16 9392.1
2     15 9266.4  1    125.67 0.2034 0.6584

Moreover, when there is an empty cell, this F-test is (for a reason that 
I haven't worked out, but is almost surely due to how the rank-deficient 
model is parametrized) *not* equivalent to the t-test for the 
corresponding coefficient in the raveled version of the two factors:

 > df$bc <- factor(with(df, paste(b, c, sep=":")))
 > m <- lm(a ~ bc, data=df)
 > summary(m)

Call:
lm(formula = a ~ bc, data = df)

Residuals:
     Min      1Q  Median      3Q     Max
-57.455 -11.750   0.439  14.011  37.545

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)    20.50      17.57   1.166   0.2617
bct1:unsent    37.50      24.85   1.509   0.1521
bct2:other     32.00      24.85   1.287   0.2174
bct2:sent      17.17      22.69   0.757   0.4610  <<< cf. F = 0.2034, p 
= 0.6584
bct2:unsent    38.95      19.11   2.039   0.0595

Residual standard error: 24.85 on 15 degrees of freedom
Multiple R-squared:  0.2613,	Adjusted R-squared:  0.06437
F-statistic: 1.327 on 4 and 15 DF,  p-value: 0.3052

In the full-rank case, however, what I said is correct -- that is, the 
F-test for the 1 df hypothesis on the three coefficients is equivalent 
to the t-test for the corresponding coefficient when the two factors are 
raveled:

 > linearHypothesis(minimal_model_fixed, "bt2 + csent + bt2:csent = 0")

Linear hypothesis test:
bt2  + csent  + bt2:csent = 0

Model 1: restricted model
Model 2: a ~ b * c

   Res.Df    RSS Df Sum of Sq      F Pr(>F)
1     15 9714.5
2     14 9194.4  1    520.08 0.7919 0.3886

 > df_fixed$bc <- factor(with(df_fixed, paste(b, c, sep=":")))
 > m <- lm(a ~ bc, data=df_fixed)
 > summary(m)

Call:
lm(formula = a ~ bc, data = df_fixed)

Residuals:
     Min      1Q  Median      3Q     Max
-57.455 -11.750   0.167  14.011  37.545

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)   64.000     25.627   2.497   0.0256
bct1:sent    -43.500     31.387  -1.386   0.1874
bct1:unsent  -12.000     36.242  -0.331   0.7455
bct2:other   -11.500     31.387  -0.366   0.7195
bct2:sent    -26.333     29.591  -0.890   0.3886 << cf.
bct2:unsent   -4.545     26.767  -0.170   0.8676

Residual standard error: 25.63 on 14 degrees of freedom
Multiple R-squared:  0.2671,	Adjusted R-squared:  0.005328
F-statistic:  1.02 on 5 and 14 DF,  p-value: 0.4425

So, to summarize:

(1) You can use linearHypothesis() with singular.ok=TRUE to test the 
hypothesis that you specified, though I suspect that this hypothesis 
probably isn't testing what you think in the rank-deficient case. I 
suspect that the hypothesis that you want to test is obtained by 
raveling the two factors.

(2) There is no reason to use deltaMethod() for a linear hypothesis, but 
there is also no intrinsic reason that deltaMethod() shouldn't be able 
to handle a rank-deficient model. We'll probably fix that.

My apologies for the confusion,
  John

-- 
John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
web: https://www.john-fox.ca/

On 2023-09-26 9:49 a.m., John Fox wrote:
> Caution: External email.
> 
> 
> Dear Michael,
> 
> You're testing a linear hypothesis, so there's no need to use the delta
> method, but the linearHypothesis() function in the car package also
> fails in your case:
> 
>  > linearHypothesis(minimal_model, "bt2 + csent + bt2:csent = 0")
> Error in linearHypothesis.lm(minimal_model, "bt2 + csent + bt2:csent = 
> 0") :
> there are aliased coefficients in the model.
> 
> One work-around is to ravel the two factors into a single factor with 5
> levels:
> 
>  > df$bc <- factor(with(df, paste(b, c, sep=":")))
>  > df$bc
>   [1] t2:unsent t2:unsent t2:unsent t2:unsent t2:sent   t2:unsent
>   [7] t2:unsent t1:sent   t2:unsent t2:unsent t2:other  t2:unsent
> [13] t1:unsent t1:sent   t2:unsent t2:other  t1:unsent t2:sent
> [19] t2:sent   t2:unsent
> Levels: t1:sent t1:unsent t2:other t2:sent t2:unsent
> 
>  > m <- lm(a ~ bc, data=df)
>  > summary(m)
> 
> Call:
> lm(formula = a ~ bc, data = df)
> 
> Residuals:
>      Min      1Q  Median      3Q     Max
> -57.455 -11.750   0.439  14.011  37.545
> 
> Coefficients:
>              Estimate Std. Error t value Pr(>|t|)
> (Intercept)    20.50      17.57   1.166   0.2617
> bct1:unsent    37.50      24.85   1.509   0.1521
> bct2:other     32.00      24.85   1.287   0.2174
> bct2:sent      17.17      22.69   0.757   0.4610
> bct2:unsent    38.95      19.11   2.039   0.0595
> 
> Residual standard error: 24.85 on 15 degrees of freedom
> Multiple R-squared:  0.2613,    Adjusted R-squared:  0.06437
> F-statistic: 1.327 on 4 and 15 DF,  p-value: 0.3052
> 
> Then the hypothesis is tested directly by the t-value for the
> coefficient bct2:sent.
> 
> I hope that this helps,
>   John
> 
> -- 
> John Fox, Professor Emeritus
> McMaster University
> Hamilton, Ontario, Canada
> web: https://www.john-fox.ca/
> 
> On 2023-09-26 1:12 a.m., Michael Cohn wrote:
>> Caution: External email.
>>
>>
>> I'm running a linear regression with two categorical predictors and their
>> interaction. One combination of levels does not occur in the data, and as
>> expected, no parameter is estimated for it. I now want to significance 
>> test
>> a particular combination of levels that does occur in the data (ie, I 
>> want
>> to get a confidence interval for the total prediction at given levels of
>> each variable).
>>
>> In the past I've done this using car::deltaMethod() but in this dataset
>> that does not work, as shown in the example below: The regression model
>> gives the expected output, but deltaMethod() gives this error:
>>
>> error in t(gd) %*% vcov. : non-conformable arguments
>>
>> I believe this is because there is no parameter estimate for when the
>> predictors have the values 't1' and 'other'. In the df_fixed dataframe,
>> putting one person into that combination of categories causes 
>> deltaMethod()
>> to work as expected.
>>
>> I don't know of any theoretical reason that missing one interaction
>> parameter estimate should prevent getting a confidence interval for a
>> different combination of predictors. Is there a way to use 
>> deltaMethod() or
>> some other function to do this without changing my data?
>>
>> Thank you,
>>
>> - Michael Cohn
>> Vote Rev (http://voterev.org)
>>
>>
>> Demonstration:
>> ------
>>
>> library(car)
>> # create dataset with outcome and two categorical predictors
>> outcomes <- c(91,2,60,53,38,78,48,33,97,41,64,84,64,8,66,41,52,18,57,34)
>> persontype <-
>> c("t2","t2","t2","t2","t2","t2","t2","t1","t2","t2","t2","t2","t1","t1","t2","t2","t1","t2","t2","t2")
>> arm_letter <-
>> c("unsent","unsent","unsent","unsent","sent","unsent","unsent","sent","unsent","unsent","other","unsent","unsent","sent","unsent","other","unsent","sent","sent","unsent")
>> df <- data.frame(a = outcomes, b=persontype, c=arm_letter)
>>
>> # note: there are no records with the combination 't1' + 'other'
>> table(df$b,df$c)
>>
>>
>> #regression works as expected
>> minimal_formula <- formula("a ~ b*c")
>> minimal_model <- lm(minimal_formula, data=df)
>> summary(minimal_model)
>>
>> #use deltaMethod() to get a prediction for individuals with the 
>> combination
>> 'b2' and 'sent'
>> # deltaMethod() fails with "error in t(gd) %*% vcov. : non-conformable
>> arguments."
>> deltaMethod(minimal_model, "bt2 + csent + `bt2:csent`", rhs=0)
>>
>> # duplicate the dataset and change one record to be in the previously 
>> empty
>> cell
>> df_fixed <- df
>> df_fixed[c(13),"c"] <- 'other'
>> table(df_fixed$b,df_fixed$c)
>>
>> #deltaMethod() now works
>> minimal_model_fixed <- lm(minimal_formula, data=df_fixed)
>> deltaMethod(minimal_model_fixed, "bt2 + csent + `bt2:csent`", rhs=0)
>>
>>          [[alternative HTML version deleted]]
>>
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> 
> ______________________________________________
> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
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> and provide commented, minimal, self-contained, reproducible code.



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