predict.lm() with an unknown factor level in test data

Question

I am fitting a model to factor data and predicting. If the newdata in predict.lm() contains a single factor level that is unknown to the model,

Answer 1

The lme4 package will handle new levels if you set the flag allow.new.levels=TRUE when calling predict.

Example: if your day of week factor is in a variable dow and a categorical outcome b_fail, you could run

M0 <- lmer(b_fail ~ x + (1 | dow), data=df.your.data, family=binomial(link='logit')) M0.preds <- predict(M0, df.new.data, allow.new.levels=TRUE)

This is an example with a random effects logistic regression. Of course, you can perform regular regression ... or most GLM models. If you want to head further down the Bayesian path, look at Gelman & Hill's excellent book and the Stan infrastructure.