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Regression Diagnostics

Syntax

lm.influence(z)

rstudent(z)
dfbetas(z)
dffits(z)
covratio(z)

Arguments

z the results returned by lm.

Description

This suite of functions can be used to compute some of the regression diagnostics discussed in Belsley, Kuh and Welsch (1980).

The primary function is lm.influence which is used by the other functions to compute the basic statistics of interest. The other functions produce particular diagnostic quantities from the fundamental quantities produced by lm.influence.

Values

A list containing the following components:
hat a vector containing the diagonal of the ``hat'' matrix. coef the change in the estimated coefficients which results when the i-th case is dropped from the regression is contained in the i-th row of this matrix. sigma a vector whose i-th element contains the estimate of the residual standard deviation obtained when the i-th case is dropped from the regression.

References

Belsley, D. A., E. Kuh and R. E. Welsch (1980). Regression Diagnostics. New York: Wiley.

See Also

lm.

Examples

# Analysis of the life-cycle savings data # given in Belsley, Kuh and Welsch. data(savings) z <- lm(sr ~ pop15 + pop75 + dpi + ddpi, data=savings) rstudent(z) dfbetas(z) dffits(z) covratio(z)