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Multiple regression refresher Austin Troy NR 245 Based primarily on material accessed from Garson, G. David 2010. Multiple Regression. Statnotes: Topics in Multivariate Analysis. http://faculty.chass.ncsu.edu/garson/PA765/statnote.htm

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Purpose Y (dependent) as function vector of X’s (independent) Y=a + b 1 X 1 + b 2 X 2 + ….+b n X n +e B=0? Each X adds a dimension Multiple X’s: effect of X i controlling for all other X’s.

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Assumptions Proper specification of the model Linearity of relationships. Nonlinearity is usually not a problem when the SD of Y is more than SD of residuals. Normality in error term (not Y) Same underlying distribution for all variables Homoscedasticity/Constant variance. Heteroskedacticity may mean omitted interaction effect. Can use weighted least squares regression or transformation No outliers. Leverage statisticsLeverage

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Assumptions Interval, continuous, unbounded data Non-simultaneity/recursivity: causality one way Unbounded data Absence of perfect or high partial multicollinearity Population error is uncorrelated with each of the independents. "assumption of mean independence”: mean error doesn’t vary with X Independent observations (absence of autocorrelation) leading to uncorrelated error terms. No spatial/temporal autocorrelation mean population error=0 Random sampling

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Outputs of regression Model fit – R 2 = (1 - (SSE/SST)), where SSE = error sum of squares; SST = total sum of squares – Coefficients table: Intercept, Betas, standard errors, t statistics, p values

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A simple univariate model

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A simple multivariate model

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Another example: car price

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Addressing multicollinearity Intercorrelation of Xs. When excessive, SE of beta coefficients become large, hard to assess relative importance of Xs. Is a problem when the research purpose includes causal modeling. Increasing samples size can offset Options: – Mean center data – Combine variables into a composite variable. – Remove the most intercorrelated variable(s) from analysis. – Use partial least squares, which doesn’t assume no multicollinearity Ways to check: correlation matrix, Variance inflation Factors. VIF>4 is common rule VIF from last model diasbp.1 age.1 generaldiet.1 exercise.1 drinker.1 1.136293 1.120658 1.088769 1.101922 1.019268 However, here is VIF when we regress BMI, age and weight against blood pressure age.1 bmi.1 wt.1 1.13505 3.164127 3.310382

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Addressing nonconstant variance Bottom graph ideal Diagnosed with residual plots (or abs resid plot) Look for funnel shape Generally suggests the need for: – Generalized linear model – transformation, – weighted least squares or – addition of variables (with which error is correlated) Source: http://www.originlab.com/www/helponline/Origin8/en/regression_and_curve_fitting/graphic_residual_analysis.htm

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Considerations: Model specification U shape or upside down U suggest nonlinear relationship between Xs and Y. Note: full model residual plots versus partial residual plots Possible transformations: semi-log, log-log, square root, inverse, power, Box- Cox

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Considerations: normality Normal Quantile plot Close to normal Population is skewed to the right (i.e. it has a long right hand tail). Heavy tailed populations are symmetric, with more members at greater remove from the population mean than in a Normal population with the same standard deviation.

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