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rms package: output interpretation

2 messages · T.Riedle, David Winsemius

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T.Riedle
# 
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? I get a high R2 but chi2 seems to be significant and high. How do I interpret these results in the rms package?

Thanks in advance.
David Winsemius
# 
I don't think anyone can help you unless you first describe the structure of the data. I worry that you are analyzing some sort of panel structure and have not yet accounted for autocorrelation in monthly measures.
This suggests you need to talk to someone with deeper statistical background, and that's not really what r-help bills itself as providing. Is this part of an education experience or task? Do you have a supervisor that could be consulted?