Regression (OLS) - overview

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Regression (OLS)
Pearson correlation
Independent variablesVariable 1
One or more quantitative of interval or ratio level and/or one or more categorical with independent groups, transformed into code variablesOne quantitative of interval or ratio level
Dependent variableVariable 2
One quantitative of interval or ratio levelOne quantitative of interval or ratio level
Null hypothesisNull hypothesis
$F$ test for the complete regression model:
• $\beta_1 = \beta_2 = \ldots = \beta_K = 0$
or equivalenty
• The variance explained by all the independent variables together (the complete model) is 0 in the population: $\rho^2 = 0$
$t$ test for individual regression coefficient $\beta_k$:
• $\beta_k = 0$
in the regression equation $\mu_y = \beta_0 + \beta_1 \times x_1 + \beta_2 \times x_2 + \ldots + \beta_K \times x_K$
$\rho = \rho_0$
$\rho$ is the unknown Pearson correlation in the population, $\rho_0$ is the correlation in the population according to the null hypothesis (usually 0)
Alternative hypothesisAlternative hypothesis
$F$ test for the complete regression model:
• not all population regression coefficients are 0
or equivalenty
• The variance explained by all the independent variables together (the complete model) is larger than 0 in the population: $\rho^2 > 0$
$t$ test for individual $\beta_k$:
• Two sided: $\beta_k \neq 0$
• Right sided: $\beta_k > 0$
• Left sided: $\beta_k < 0$
Two sided: $\rho \neq \rho_0$
Right sided: $\rho > \rho_0$
Left sided: $\rho < \rho_0$
AssumptionsAssumptions of tests for correlation
• In the population, the residuals are normally distributed at each combination of values of the independent variables
• In the population, the standard deviation $\sigma$ of the residuals is the same for each combination of values of the independent variables (homoscedasticity)
• In the population, the relationship between the independent variables and the mean of the dependent variable $\mu_y$ is linear. If this linearity assumption holds, the mean of the residuals is 0 for each combination of values of the independent variables
• The residuals are independent of one another
• Variables are measured without error
Also pay attention to:
• Multicollinearity
• Outliers
• In the population, the two variables are jointly normally distributed (this covers the normality, homoscedasticity, and linearity assumptions)
• Sample of pairs is a simple random sample from the population of pairs. That is, pairs are independent of one another
Note: these assumptions are only important for the significance test and confidence interval, not for the correlation coefficient itself. The correlation coefficient just measures the strength of the linear relationship between two variables.
Test statisticTest statistic
$F$ test for the complete regression model:
• \begin{aligned}[t] F &= \dfrac{\sum (\hat{y}_j - \bar{y})^2 / K}{\sum (y_j - \hat{y}_j)^2 / (N - K - 1)}\\ &= \dfrac{\mbox{sum of squares model} / \mbox{degrees of freedom model}}{\mbox{sum of squares error} / \mbox{degrees of freedom error}}\\ &= \dfrac{\mbox{mean square model}}{\mbox{mean square error}} \end{aligned}
where $\hat{y}_j$ is the predicted score on the dependent variable $y$ of subject $j$, $\bar{y}$ is the mean of $y$, $y_j$ is the score on $y$ of subject $j$, $N$ is the total sample size, and $K$ is the number of independent variables
$t$ test for individual $\beta_k$:
• $t = \dfrac{b_k}{SE_{b_k}}$
• If only one independent variable:
$SE_{b_1} = \dfrac{\sqrt{\sum (y_j - \hat{y}_j)^2 / (N - 2)}}{\sqrt{\sum (x_j - \bar{x})^2}} = \dfrac{s}{\sqrt{\sum (x_j - \bar{x})^2}}$, with $s$ the sample standard deviation of the residuals, $x_j$ the score of subject $j$ on the independent variable $x$, and $\bar{x}$ the mean of $x$. For models with more than one independent variable, computing $SE_{b_k}$ becomes complicated
Note 1: mean square model is also known as mean square regression; mean square error is also known as mean square residual
Note 2: if only one independent variable ($K = 1$), the $F$ test for the complete regression model is equivalent to the two sided $t$ test for $\beta_1$
Test statistic for testing H0: $\rho = 0$:
• $t = \dfrac{r \times \sqrt{N - 2}}{\sqrt{1 - r^2}}$
where $r$ is the sample correlation $r = \frac{1}{N - 1} \sum_{j}\Big(\frac{x_{j} - \bar{x}}{s_x} \Big) \Big(\frac{y_{j} - \bar{y}}{s_y} \Big)$ and $N$ is the sample size
Test statistic for testing values for $\rho$ other than $\rho = 0$:
• $z = \dfrac{r_{Fisher} - \rho_{0_{Fisher}}}{\sqrt{\dfrac{1}{N - 3}}}$
• $r_{Fisher} = \dfrac{1}{2} \times \log\Bigg(\dfrac{1 + r}{1 - r} \Bigg )$, where $r$ is the sample correlation
• $\rho_{0_{Fisher}} = \dfrac{1}{2} \times \log\Bigg( \dfrac{1 + \rho_0}{1 - \rho_0} \Bigg )$, where $\rho_0$ is the population correlation according to H0
Sample standard deviation of the residuals $s$n.a.
\begin{aligned} s &= \sqrt{\dfrac{\sum (y_j - \hat{y}_j)^2}{N - K - 1}}\\ &= \sqrt{\dfrac{\mbox{sum of squares error}}{\mbox{degrees of freedom error}}}\\ &= \sqrt{\mbox{mean square error}} \end{aligned}-
Sampling distribution of $F$ and of $t$ if H0 were trueSampling distribution of $t$ and of $z$ if H0 were true
Sampling distribution of $F$:
• $F$ distribution with $K$ (df model, numerator) and $N - K - 1$ (df error, denominator) degrees of freedom
Sampling distribution of $t$:
• $t$ distribution with $N - K - 1$ (df error) degrees of freedom
Sampling distribution of $t$:
• $t$ distribution with $N - 2$ degrees of freedom
Sampling distribution of $z$:
• Approximately standard normal
Significant?Significant?
$F$ test:
• Check if $F$ observed in sample is equal to or larger than critical value $F^*$ or
• Find $p$ value corresponding to observed $F$ and check if it is equal to or smaller than $\alpha$
$t$ Test two sided:
$t$ Test right sided:
$t$ Test left sided:
$t$ Test two sided:
$t$ Test right sided:
$t$ Test left sided:
$z$ Test two sided:
$z$ Test right sided:
$z$ Test left sided:
$C\%$ confidence interval for $\beta_k$ and for $\mu_y$; $C\%$ prediction interval for $y_{new}$Approximate $C$% confidence interval for $\rho$
Confidence interval for $\beta_k$:
• $b_k \pm t^* \times SE_{b_k}$
• If only one independent variable:
$SE_{b_1} = \dfrac{\sqrt{\sum (y_j - \hat{y}_j)^2 / (N - 2)}}{\sqrt{\sum (x_j - \bar{x})^2}} = \dfrac{s}{\sqrt{\sum (x_j - \bar{x})^2}}$
Confidence interval for $\mu_y$, the population mean of $y$ given the values on the independent variables:
• $\hat{y} \pm t^* \times SE_{\hat{y}}$
• If only one independent variable:
$SE_{\hat{y}} = s \sqrt{\dfrac{1}{N} + \dfrac{(x^* - \bar{x})^2}{\sum (x_j - \bar{x})^2}}$
Prediction interval for $y_{new}$, the score on $y$ of a future respondent:
• $\hat{y} \pm t^* \times SE_{y_{new}}$
• If only one independent variable:
$SE_{y_{new}} = s \sqrt{1 + \dfrac{1}{N} + \dfrac{(x^* - \bar{x})^2}{\sum (x_j - \bar{x})^2}}$
In all formulas, the critical value $t^*$ is the value under the $t_{N - K - 1}$ distribution with the area $C / 100$ between $-t^*$ and $t^*$ (e.g. $t^*$ = 2.086 for a 95% confidence interval when df = 20).
First compute approximate $C$% confidence interval for $\rho_{Fisher}$:
• $lower_{Fisher} = r_{Fisher} - z^* \times \sqrt{\dfrac{1}{N - 3}}$
• $upper_{Fisher} = r_{Fisher} + z^* \times \sqrt{\dfrac{1}{N - 3}}$
where $r_{Fisher} = \frac{1}{2} \times \log\Bigg(\dfrac{1 + r}{1 - r} \Bigg )$ and $z^*$ is the value under the normal curve with the area $C / 100$ between $-z^*$ and $z^*$ (e.g. $z^*$ = 1.96 for a 95% confidence interval).
Then transform back to get approximate $C$% confidence interval for $\rho$:
• lower bound = $\dfrac{e^{2 \times lower_{Fisher}} - 1}{e^{2 \times lower_{Fisher}} + 1}$
• upper bound = $\dfrac{e^{2 \times upper_{Fisher}} - 1}{e^{2 \times upper_{Fisher}} + 1}$
Effect sizeProperties of the Pearson correlation coefficient
Complete model:
• Proportion variance explained $R^2$:
Proportion variance of the dependent variable $y$ explained by the sample regression equation (the independent variables):
\begin{align} R^2 &= \dfrac{\sum (\hat{y}_j - \bar{y})^2}{\sum (y_j - \bar{y})^2}\\ &= \dfrac{\mbox{sum of squares model}}{\mbox{sum of squares total}}\\ &= 1 - \dfrac{\mbox{sum of squares error}}{\mbox{sum of squares total}}\\ &= r(y, \hat{y})^2 \end{align}
$R^2$ is the proportion variance explained in the sample by the sample regression equation. It is a positively biased estimate of the proportion variance explained in the population by the population regression equation, $\rho^2$. If there is only one independent variable, $R^2 = r^2$: the correlation between the independent variable $x$ and dependent variable $y$ squared.
• Wherry's $R^2$ / shrunken $R^2$:
Corrects for the positive bias in $R^2$ and is equal to $$R^2_W = 1 - \frac{N - 1}{N - K - 1}(1 - R^2)$$
$R^2_W$ is a less biased estimate than $R^2$ of the proportion variance explained in the population by the population regression equation, $\rho^2$
• Stein's $R^2$:
Estimates the proportion of variance in $y$ that we expect the current sample regression equation to explain in a different sample drawn from the same population. It is equal to $$R^2_S = 1 - \frac{(N - 1)(N - 2)(N + 1)}{(N - K - 1)(N - K - 2)(N)}(1 - R^2)$$
Per independent variable:
• Correlation squared $r^2_k$: the proportion of the total variance in the dependent variable $y$ that is explained by the independent variable $x_k$, not corrected for the other independent variables in the model
• Semi-partial correlation squared $sr^2_k$: the proportion of the total variance in the dependent variable $y$ that is uniquely explained by the independent variable $x_k$, beyond the part that is already explained by the other independent variables in the model
• Partial correlation squared $pr^2_k$: the proportion of the variance in the dependent variable $y$ not explained by the other independent variables, that is uniquely explained by the independent variable $x_k$
• The Pearson correlation coefficient is a measure for the linear relationship between two quantitative variables.
• The Pearson correlation coefficient squared reflects the proportion of variance explained in one variable by the other variable.
• The Pearson correlation coefficient can take on values between -1 (perfect negative relationship) and 1 (perfect positive relationship). A value of 0 means no linear relationship.
• The absolute size of the Pearson correlation coefficient is not affected by any linear transformation of the variables. However, the sign of the Pearson correlation will flip when the scores on one of the two variables are multiplied by a negative number (reversing the direction of measurement of that variable).
For example:
• the correlation between $x$ and $y$ is equivalent to the correlation between $3x + 5$ and $2y - 6$.
• the absolute value of the correlation between $x$ and $y$ is equivalent to the absolute value of the correlation between $-3x + 5$ and $2y - 6$. However, the signs of the two correlation coefficients will be in opposite directions, due to the multiplication of $x$ by $-3$.
• The Pearson correlation coefficient does not say anything about causality.
• The Pearson correlation coefficient is sensitive to outliers.
ANOVA tablen.a.
-
n.a.Equivalent to
-OLS regression with one independent variable:
• $b_1 = r \times \frac{s_y}{s_x}$
• Results significance test ($t$ and $p$ value) testing $H_0$: $\beta_1 = 0$ are equivalent to results significance test testing $H_0$: $\rho = 0$
Example contextExample context
Can mental health be predicted from fysical health, economic class, and gender?Is there a linear relationship between physical health and mental health?
SPSSSPSS
Analyze > Regression > Linear...
• Put your dependent variable in the box below Dependent and your independent (predictor) variables in the box below Independent(s)
Analyze > Correlate > Bivariate...
• Put your two variables in the box below Variables
JamoviJamovi
Regression > Linear Regression
• Put your dependent variable in the box below Dependent Variable and your independent variables of interval/ratio level in the box below Covariates
• If you also have code (dummy) variables as independent variables, you can put these in the box below Covariates as well
• Instead of transforming your categorical independent variable(s) into code variables, you can also put the untransformed categorical independent variables in the box below Factors. Jamovi will then make the code variables for you 'behind the scenes'
Regression > Correlation Matrix
• Put your two variables in the white box at the right
• Under Correlation Coefficients, select Pearson (selected by default)
• Under Hypothesis, select your alternative hypothesis
Practice questionsPractice questions