1. Regression
11/6

2. Regression
Correlation can tell how to predict one variable from another
What about multiple predictor variables?
Explaining Y using X1, X2, … Xm
Income based on age, education
Memory based on pre-test, IQ
Social behavior based on personality dimensions
Regression
Finds best combination of predictors to explain outcome variable
Determines unique contribution of each predictor
Can test whether each predictor has reliable influence

3. Linear Prediction One predictor Multiple predictors Intercept: b0
Draw a line through data
Multiple predictors
Each predictor has linear effect
Effects of different predictors simply add together
Intercept: b0
Value of Y when all Xs are zero
Regression coefficients: bi
Influence of Xi
Sign tells direction; magnitude tells strength
Can be any value (not standardized like correlation)

4. Example Predict income from education and intelligence
Y = $k/yr
X1 = years past HS
X2 = IQ
Regression equation:
4-year college, IQ = 120
*4 + 1*120 = 90  $90k/yr
2-year college, IQ = 90
*2 + 1*90 = 40  $40k/yr

5. Finding Regression Coefficients
Goal: regression equation with best fit to data
Minimize error between Y and
Math solution
Matrix algebra
Combines Xs into a matrix
Rows for subjects, columns for variables
Transposes, matrix inverse, derivatives and other fun
Practical solution
Use a computer
R: linear model function, lm(Y~X1+X2+X3)

6. Regression vs. Correlation
One predictor: regression = correlation
Plus commitment about which variable predicts the other
Multiple predictors
Predictors affect each other
Each coefficient depends on what other predictors are included
Example: 3rd-variable problem
Math achievement and verbal achievement both depend on overall IQ
Math helps with English?
Add IQ as a predictor: verbal ~ math + IQ
bmath will be near 0
No effect of math once IQ is accounted for
Regression finds best combination of predictors to explain outcome
Best values of b1, b2, etc. taken together
Each coefficient shows contribution of predictor beyond effects of others
Allows identification of most important predictors

7. Explained Variability
Total sum of squares
Variability in Y
SSY = S(Y – MY)2
Residual sum of squares
Deviation between predicted and actual scores
SSresidual = S(Y – )2

8. Explained Variability
SSY
SSresidual
SSregression
SSregression
Variability explained by regression
Difference between total and residual sums of squares
SSregression = SSY - SSresidual
R2 ("R-squared")
Fraction of variability explained by the regression
SSregression/SSY
Measures how well the predictors (Xs) can predict or explain the outcome (Y)
Same as r2 from correlation when only one predictor

9. Hypothesis Testing with Regression
Does the regression explain meaningful variance in the outcome?
Null hypothesis
All regression coefficients equal zero in population
Regression only “explaining” random error in sample
Approach
Find how much variance the predictors explain: SSregression
Compare to amount expected by chance
Ratio gives F statistic, which we can use for hypothesis testing
If F is larger than expected by H0, regression explains more variance than expected by chance
Reject null hypothesis if F is large enough

10. Hypothesis Testing with Regression
SSY
SSresidual
SSregression
Likelihood function for F is an F distribution
Comes from ratio of two chi-square variables
Two df values, from numerator and denominator
P(F5,10) F a p
Fcrit

11. Degrees of Freedom SSY dfY = n - 1 dfresidual = n – m – 1 SSregression
dfregression = m
SSY
dfY = n - 1
dfresidual = n – m – 1

12. Testing Individual Predictors
Does predictor variable have any effect on outcome?
Does it provide any information beyond other predictors?
Null hypothesis: bi = 0 in population
Other bs might be nonzero
Compute standard error for bi
Uses MSresidual to estimate
t statistic:
Get tcrit or p-value from t distribution with dfresidual
Can do one-tailed test if predicted direction of effect
Sign of bi