predict.lm_robust: Predict method for 'lm_robust' object

In estimatr: Fast Estimators for Design-Based Inference

Predict method for lm_robust object

Description

Predict method for lm_robust object

Usage

## S3 method for class 'lm_robust'
predict(
  object,
  newdata,
  se.fit = FALSE,
  interval = c("none", "confidence", "prediction"),
  alpha = 0.05,
  na.action = na.pass,
  pred.var = NULL,
  weights,
  ...
)

Arguments

object	an object of class 'lm_robust'
newdata	a data frame in which to look for variables with which to predict
se.fit	logical. Whether standard errors are required, default = FALSE
interval	type of interval calculation. Can be abbreviated, default = none
alpha	numeric denoting the test size for confidence intervals
na.action	function determining what should be done with missing values in newdata. The default is to predict NA.
pred.var	the variance(s) for future observations to be assumed for prediction intervals.
weights	variance weights for prediction. This can be a numeric vector or a bare (unquoted) name of the weights variable in the supplied newdata.
...	other arguments, unused

Details

Produces predicted values, obtained by evaluating the regression function in the frame newdata for fits from lm_robust and lm_lin. If the logical se.fit is TRUE, standard errors of the predictions are calculated. Setting intervals specifies computation of confidence or prediction (tolerance) intervals at the specified level, sometimes referred to as narrow vs. wide intervals.

The equation used for the standard error of a prediction given a row of data x is:

\sqrt(x \Sigma x'),

where \Sigma is the estimated variance-covariance matrix from lm_robust.

The prediction intervals are for a single observation at each case in newdata with error variance(s) pred.var. The the default is to assume that future observations have the same error variance as those used for fitting, which is gotten from the fit lm_robust object. If weights is supplied, the inverse of this is used as a scale factor. If the fit was weighted, the default is to assume constant prediction variance, with a warning.

Examples

# Set seed
set.seed(42)

# Simulate data
n <- 10
dat <- data.frame(y = rnorm(n), x = rnorm(n))

# Fit lm
lm_out <- lm_robust(y ~ x, data = dat)
# Get predicted fits
fits <- predict(lm_out, newdata = dat)
# With standard errors and confidence intervals
fits <- predict(lm_out, newdata = dat, se.fit = TRUE, interval = "confidence")

# Use new data as well
new_dat <- data.frame(x = runif(n, 5, 8))
predict(lm_out, newdata = new_dat)

# You can also supply custom variance weights for prediction intervals
new_dat$w <- runif(n)
predict(lm_out, newdata = new_dat, weights = w, interval = "prediction")

estimatr documentation built on May 29, 2024, 7:23 a.m.