On Mar 25, 2016, at 6:31 AM, T.Riedle <tr206 at kent.ac.uk> wrote:
Hi everybody,
I am trying to run a logistic regression using the rms package. Here is the output of my model.
Logistic Regression Model
lrm(formula = stock.market.crash ~ crash.t.1.to.t.L + MA.inflator.monthly +
realized.volatility.10 + MA.MP.100 + MA.UI.100 + MA.DEI.100 +
MA.UPR.100, data = FDL.model_monthly)
Model Likelihood Discrimination Rank Discrim.
Ratio Test Indexes Indexes
Obs 45 LR chi2 21.57 R2 0.529 C 0.889
0 30 d.f. 7 g 2.789 Dxy 0.778
1 15 Pr(> chi2) 0.0030 gr 16.267 gamma 0.778
max |deriv| 6e-06 gp 0.340 tau-a 0.354
Brier 0.131
Coef S.E. Wald Z Pr(>|Z|)
Intercept -11.6543 5.9683 -1.95 0.0509
crash.t.1.to.t.L -4.5335 2.5705 -1.76 0.0778
MA.inflator.monthly -2.4400 1.2735 -1.92 0.0554
realized.volatility.10 24.7952 10.3298 2.40 0.0164
MA.MP.100 6.9404 4.1511 1.67 0.0945
MA.UI.100 -125.7101 54.5219 -2.31 0.0211
MA.DEI.100 519.9589 255.0241 2.04 0.0415
MA.UPR.100 2.6938 2.2209 1.21 0.2252
I am a bit confused regarding the interpretation of the chi2 and its p-value. Can anybody help me interpret the results?