Magean - 1 year ago 72

R Question

In order to correct heteroskedasticity in error terms, I am running the following weighted least squares regression in R :

`#Call:`

#lm(formula = a ~ q + q2 + b + c, data = mydata, weights = weighting)

#Weighted Residuals:

# Min 1Q Median 3Q Max

#-1.83779 -0.33226 0.02011 0.25135 1.48516

#Coefficients:

# Estimate Std. Error t value Pr(>|t|)

#(Intercept) -3.939440 0.609991 -6.458 1.62e-09 ***

#q 0.175019 0.070101 2.497 0.013696 *

#q2 0.048790 0.005613 8.693 8.49e-15 ***

#b 0.473891 0.134918 3.512 0.000598 ***

#c 0.119551 0.125430 0.953 0.342167

#---

#Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

#Residual standard error: 0.5096 on 140 degrees of freedom

#Multiple R-squared: 0.9639, Adjusted R-squared: 0.9628

#F-statistic: 933.6 on 4 and 140 DF, p-value: < 2.2e-16

Where "weighting" is a variable (function of the variable

`q`

`q2`

`q^2`

Now, to double-check my results, I manually weight my variables by creating new weighted variables :

`mydata$a.wls <- mydata$a * mydata$weighting`

mydata$q.wls <- mydata$q * mydata$weighting

mydata$q2.wls <- mydata$q2 * mydata$weighting

mydata$b.wls <- mydata$b * mydata$weighting

mydata$c.wls <- mydata$c * mydata$weighting

And run the following regression, without the weights option, and without a constant - since the constant is weighted, the column of 1 in the original predictor matrix should now equal the variable weighting:

`Call:`

lm(formula = a.wls ~ 0 + weighting + q.wls + q2.wls + b.wls + c.wls,

data = mydata)

#Residuals:

# Min 1Q Median 3Q Max

#-2.38404 -0.55784 0.01922 0.49838 2.62911

#Coefficients:

# Estimate Std. Error t value Pr(>|t|)

#weighting -4.125559 0.579093 -7.124 5.05e-11 ***

#q.wls 0.217722 0.081851 2.660 0.008726 **

#q2.wls 0.045664 0.006229 7.330 1.67e-11 ***

#b.wls 0.466207 0.121429 3.839 0.000186 ***

#c.wls 0.133522 0.112641 1.185 0.237876

#---

#Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

#Residual standard error: 0.915 on 140 degrees of freedom

#Multiple R-squared: 0.9823, Adjusted R-squared: 0.9817

#F-statistic: 1556 on 5 and 140 DF, p-value: < 2.2e-16

As you can see, the results are similar but not identical. Am I doing something wrong while manually weighting the variables, or does the option "weights" do something more than simply multiplying the variables by the weighting vector?

Thanks in advance!

Answer Source

Provided you do manual weighting correctly, you won't see discrepancy.

So the correct way to go is:

```
X <- model.matrix(~ q + q2 + b + c, mydata) ## non-weighted model matrix (with intercept)
w <- mydata$weighting ## weights
rw <- sqrt(w) ## root weights
y <- mydata$a ## non-weighted response
X_tilde <- rw * X ## weighted model matrix (with intercept)
y_tilde <- rw * y ## weighted response
## remember to drop intercept when using formula
fit_by_wls <- lm(y ~ X - 1, weights = w)
fit_by_ols <- lm(y_tilde ~ X_tilde - 1)
```

Although it is generally recommended to use `lm.fit`

and `lm.wfit`

when passing in matrix directly:

```
matfit_by_wls <- lm.wfit(X, y, w)
matfit_by_ols <- lm.fit(X_tilde, y_tilde)
```

But when using these internal subroutines `lm.fit`

and `lm.fit`

, it is required that all input are complete cases without `NA`

, otherwise the underlying FORTRAN routine `dqrdc.f`

will complain.

If you still want to use the formula interface rather than matrix, you can do the following:

```
## weight by square root of weights, not weights
mydata$root.weighting <- sqrt(mydata$weighting)
mydata$a.wls <- mydata$a * mydata$root.weighting
mydata$q.wls <- mydata$q * mydata$root.weighting
mydata$q2.wls <- mydata$q2 * mydata$root.weighting
mydata$b.wls <- mydata$b * mydata$root.weighting
mydata$c.wls <- mydata$c * mydata$root.weighting
fit_by_wls <- lm(formula = a ~ q + q2 + b + c, data = mydata, weights = weighting)
fit_by_ols <- lm(formula = a.wls ~ 0 + root.weighting + q.wls + q2.wls + b.wls + c.wls,
data = mydata)
```

**Reproducible Example**

Let's use R's built-in data set `trees`

. Use `head(trees)`

to inspect this dataset. There is no `NA`

in this dataset. We aim to fit a model:

```
Height ~ Girth + Volume
```

with some random weights between 1 and 2:

```
set.seed(0); w <- runif(nrow(trees), 1, 2)
```

We fit this model via weighted regression, either by passing weights to `lm`

, or manually transforming data and calling `lm`

with no weigths:

```
X <- model.matrix(~ Girth + Volume, trees) ## non-weighted model matrix (with intercept)
rw <- sqrt(w) ## root weights
y <- trees$Height ## non-weighted response
X_tilde <- rw * X ## weighted model matrix (with intercept)
y_tilde <- rw * y ## weighted response
fit_by_wls <- lm(y ~ X - 1, weights = w)
#Call:
#lm(formula = y ~ X - 1, weights = w)
#Coefficients:
#X(Intercept) XGirth XVolume
# 83.2127 -1.8639 0.5843
fit_by_ols <- lm(y_tilde ~ X_tilde - 1)
#Call:
#lm(formula = y_tilde ~ X_tilde - 1)
#Coefficients:
#X_tilde(Intercept) X_tildeGirth X_tildeVolume
# 83.2127 -1.8639 0.5843
```

So indeed, we see identical results.

Alternatively, we can use `lm.fit`

and `lm.wfit`

:

```
matfit_by_wls <- lm.wfit(X, y, w)
matfit_by_ols <- lm.fit(X_tilde, y_tilde)
```

We can check coefficients by:

```
matfit_by_wls$coefficients
#(Intercept) Girth Volume
# 83.2127455 -1.8639351 0.5843191
matfit_by_ols$coefficients
#(Intercept) Girth Volume
# 83.2127455 -1.8639351 0.5843191
```

Again, results are the same.