Estimate Multiple Correlation Coefficients (R-squared and adjusted R-squared) and the Corresponding Sampling Covariance Matrix

Estimate Multiple Correlation Coefficients (R-squared and adjusted R-squared) and the Corresponding Sampling Covariance Matrix

Usage

RSqBetaSandwich(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 rsqbetasandwich which is a list with the following elements:

call

Function call.

fit

The argument object.

args

Function arguments.

vcov

Sampling covariance matrix of multiple correlation coefficients (R-squared and adjusted R-squared).

est

Vector of multiple correlation coefficients (R-squared and adjusted R-squared).

See also

Other Beta Sandwich Functions: BetaADF(), BetaHC(), BetaN(), DiffBetaSandwich()

Author

Ivan Jacob Agaloos Pesigan

Examples

object <- lm(QUALITY ~ NARTIC + PCTGRT + PCTSUPP, data = nas1982)
std <- BetaHC(object)
rsq <- RSqBetaSandwich(std)
# Methods -------------------------------------------------------
print(rsq)
#> Call:
#> RSqBetaSandwich(object = std)
#> 
#> Multiple correlation with HC3 standard errors:
#>        est     se       t df p  0.05% 0.5%   2.5%  97.5%  99.5% 99.95%
#> rsq 0.8045 0.0313 25.6916 42 0 0.6937 0.72 0.7413 0.8677 0.8890 0.9153
#> adj 0.7906 0.0336 23.5627 42 0 0.6719 0.70 0.7229 0.8583 0.8811 0.9093
summary(rsq)
#> Call:
#> RSqBetaSandwich(object = std)
#> 
#> Multiple correlation with HC3 standard errors:
#>        est     se       t df p  0.05% 0.5%   2.5%  97.5%  99.5% 99.95%
#> rsq 0.8045 0.0313 25.6916 42 0 0.6937 0.72 0.7413 0.8677 0.8890 0.9153
#> adj 0.7906 0.0336 23.5627 42 0 0.6719 0.70 0.7229 0.8583 0.8811 0.9093
coef(rsq)
#>   rsq.rsq   adj.adj 
#> 0.8045263 0.7905638 
vcov(rsq)
#>              rsq         adj
#> rsq 0.0009806163 0.001050660
#> adj 0.0010506603 0.001125707
confint(rsq, level = 0.95)
#>         2.5 %    97.5 %
#> rsq 0.7413304 0.8677221
#> adj 0.7228540 0.8582736