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List:       r-help
Subject:    Re: [R] questions about performing Robust multiple regression using bootstrap
From:       "Fox, John" <jfox () mcmaster ! ca>
Date:       2018-02-26 15:47:23
Message-ID: ACD1644AA6C67E4FBD0C350625508EC836786084 () FHSDB2D11-2 ! csu ! mcmaster ! ca
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Dear Faiz,

Bootstrapping R^2 using Boot() is straightforward: Simply write a function that \
returns R^2, possibly in a vector with the regression coefficients, and use it as the \
f argument to Boot(). That will get you, e.g., bootstrapped confidence intervals for \
R^2. (Why you want that is another question.) See the example in ?Boot that shows how \
to bootstrap the estimated error variance (without the regression coefficients).

On the other hand, bootstrap hypothesis tests aren't entirely straightforward (and \
you might ask yourself why you need them when you have bootstrap confidence \
intervals). If memory serves, there's a discussion in the Davison  and Hinkley \
reference in ?Boot (I don't have a copy of the book at my current location, so I \
can't check). There's also a brief discussion in Sec. 21.4 of my Applied Regression \
Analysis and Generalized Linear Models, 3rd ed. 

I hope this helps,
 John

-----------------------------
John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
Web: socialsciences.mcmaster.ca/jfox/


> -----Original Message-----
> From: R-help [mailto:r-help-bounces@r-project.org] On Behalf Of faiz rasool
> Sent: Monday, February 26, 2018 6:30 AM
> To: R-help@r-project.org
> Subject: [R] questions about performing Robust multiple regression using
> bootstrap
> 
> Dear list,
> 
> I am slightly confused about how I  can do the following in R.
> 
> I want to  perform   robust multiple regression. I've used the Boot
> function in CAR package to find confidence intervals and standard errors.
> Inadition to these, I want to find the  robust estimates  for the F test and  r-
> square. Finally, I  would like to know the significance levels of bootstrap \
> results. 
> Below I  explain my question  using commented R code.
> 
> [1] reg=lm(a~b+c+d+e) # perform multiple regression.
> [2] library(car) #load the car package.
> [3] bootstrap=Boot(reg) #perform bootstrap using the Boot function in car
> package.
> [4] summary(bootstrap) #show the results of bootstrap.
> [5]now  I would like to type a code that can give me robust estimates  of R-
> square, F tests, and  significance  levels for coefficients and f.
> 
> 
> Thanks for any help.
> 
> Regards,
> Faiz.
> 
> ______________________________________________
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