Estimate Improvement in R-Squared and the Corresponding Sampling Covariance Matrix

Estimate Improvement in R-Squared and the Corresponding Sampling Covariance Matrix

Usage

DeltaRSqSandwich(object, alpha = c(0.05, 0.01, 0.001))

Arguments

object

Object of class betasandwich, that is, the output of the BetaHC(), BetaN(), or BetaADF() functions.

alpha

Numeric vector. Significance level \(\alpha\).

Value

Returns an object of class essandwich which is a list with the following elements:

call

Function call.

fit

The argument object.

args

Function arguments.

vcov

Sampling covariance matrix of improvement in R-squared (squared semipartial correlation coefficients).

est

Vector of improvement in R-squared (squared semipartial correlation coefficients).

fun

Function used ("DeltaRSqSandwich").

Details

The sampling covariance matrix is obtained by the delta method from the sampling covariance matrix of the standardized parameters stored in object (normal-theory, asymptotically distribution-free, or heteroskedasticity-consistent). Two or more regressors are required.

See also

Other Beta Sandwich Functions: BetaADF(), BetaHC(), BetaN(), DiffBetaSandwich(), FSqSandwich(), PCorSandwich(), RSqSandwich(), SCorSandwich()

Author

Ivan Jacob Agaloos Pesigan

Examples

object <- lm(QUALITY ~ NARTIC + PCTGRT + PCTSUPP, data = nas1982)
std <- BetaHC(object)
out <- DeltaRSqSandwich(std)
# Methods -------------------------------------------------------
print(out)
#> Call:
#> DeltaRSqSandwich(object = std)
#> 
#> Improvement in R-squared with HC3 standard errors:
#>            est     se      z      p   0.05%    0.5%    2.5%  97.5%  99.5%
#> NARTIC  0.1859 0.0685 2.7151 0.0066 -0.0394  0.0095  0.0517 0.3201 0.3622
#> PCTGRT  0.1177 0.0541 2.1734 0.0298 -0.0605 -0.0218  0.0116 0.2238 0.2571
#> PCTSUPP 0.0569 0.0373 1.5233 0.1277 -0.0660 -0.0393 -0.0163 0.1300 0.1530
#>         99.95%
#> NARTIC  0.4112
#> PCTGRT  0.2958
#> PCTSUPP 0.1797
summary(out)
#> Call:
#> DeltaRSqSandwich(object = std)
#> 
#> Improvement in R-squared with HC3 standard errors:
#>            est     se      z      p   0.05%    0.5%    2.5%  97.5%  99.5%
#> NARTIC  0.1859 0.0685 2.7151 0.0066 -0.0394  0.0095  0.0517 0.3201 0.3622
#> PCTGRT  0.1177 0.0541 2.1734 0.0298 -0.0605 -0.0218  0.0116 0.2238 0.2571
#> PCTSUPP 0.0569 0.0373 1.5233 0.1277 -0.0660 -0.0393 -0.0163 0.1300 0.1530
#>         99.95%
#> NARTIC  0.4112
#> PCTGRT  0.2958
#> PCTSUPP 0.1797
coef(out)
#>    NARTIC    PCTGRT   PCTSUPP 
#> 0.1858925 0.1176542 0.0568722 
vcov(out)
#>                NARTIC        PCTGRT       PCTSUPP
#> NARTIC   0.0046874969 -0.0001498081 -0.0001799337
#> PCTGRT  -0.0001498081  0.0029304696 -0.0003317602
#> PCTSUPP -0.0001799337 -0.0003317602  0.0013939512
confint(out, level = 0.95)
#>               2.5 %    97.5 %
#> NARTIC   0.05170296 0.3200820
#> PCTGRT   0.01155384 0.2237545
#> PCTSUPP -0.01630434 0.1300487