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Regression (OLS)
$z$ test for the difference between two proportions
$\pi_1 = \pi_2$
$\pi_1$ is the unknown proportion of "successes" in population 1; $\pi_2$ is the unknown proportion of "successes" in population 2
Alternative hypothesis
Alternative 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: $\pi_1 \neq \pi_2$
Right sided: $\pi_1 > \pi_2$
Left sided: $\pi_1 < \pi_2$
Assumptions
Assumptions
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
Often ignored additional assumption:
Variables are measured without error
Also pay attention to:
Multicollinearity
Outliers
Sample size is large enough for $z$ to be approximately normally distributed. Rule of thumb:
Significance test: number of successes and number of failures are each 5 or more in both sample groups
Regular (large sample) 90%, 95%, or 99% confidence interval: number of successes and number of failures are each 10 or more in both sample groups
Plus four 90%, 95%, or 99% confidence interval: sample sizes of both groups are 5 or more
Group 1 sample is a simple random sample (SRS) from population 1, group 2 sample is an independent SRS from population 2. That is, within and between groups, observations are independent of one another
Test statistic
Test 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 $\beta_1$
$z = \dfrac{p_1 - p_2}{\sqrt{p(1 - p)\Bigg(\dfrac{1}{n_1} + \dfrac{1}{n_2}\Bigg)}}$
$p_1$ is the sample proportion of successes in group 1: $\dfrac{X_1}{n_1}$,
$p_2$ is the sample proportion of successes in group 2: $\dfrac{X_2}{n_2}$,
$p$ is the total proportion of successes in the sample: $\dfrac{X_1 + X_2}{n_1 + n_2}$,
$n_1$ is the sample size of group 1, $n_2$ is the sample size of group 2
Note: we could just as well compute $p_2 - p_1$ in the numerator, but then the left sided alternative becomes $\pi_2 < \pi_1$, and the right sided alternative becomes $\pi_2 > \pi_1$
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}
$
$F$ 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
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:
Check if $t$ observed in sample is at least as extreme as critical value $t^*$ or
Find two sided $p$ value corresponding to observed $t$ and check if it is equal to or smaller than $\alpha$
$t$ Test right sided:
Check if $t$ observed in sample is equal to or larger than critical value $t^*$ or
Find right sided $p$ value corresponding to observed $t$ and check if it is equal to or smaller than $\alpha$
$t$ Test left sided:
Check if $t$ observed in sample is equal to or smaller than critical value $t^*$ or
Find left sided $p$ value corresponding to observed $t$ and check if it is equal to or smaller than $\alpha$
Two sided:
Check if $z$ observed in sample is at least as extreme as critical value $z^*$ or
Find two sided $p$ value corresponding to observed $z$ and check if it is equal to or smaller than $\alpha$
Right sided:
Check if $z$ observed in sample is equal to or larger than critical value $z^*$ or
Find right sided $p$ value corresponding to observed $z$ and check if it is equal to or smaller than $\alpha$
Left sided:
Check if $z$ observed in sample is equal to or smaller than critical value $z^*$ or
Find left sided $p$ value corresponding to observed $z$ and check if it is equal to or smaller than $\alpha$
$C\%$ confidence interval for $\beta_k$ and for $\mu_y$; $C\%$ prediction interval for $y_{new}$
Approximate $C\%$ confidence interval for $\pi_1 - \pi_2$
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).
Regular (large sample):
$(p_1 - p_2) \pm z^* \times \sqrt{\dfrac{p_1(1 - p_1)}{n_1} + \dfrac{p_2(1 - p_2)}{n_2}}$
where $z^*$ 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)
With plus four method:
$(p_{1.plus} - p_{2.plus}) \pm z^* \times \sqrt{\dfrac{p_{1.plus}(1 - p_{1.plus})}{n_1 + 2} + \dfrac{p_{2.plus}(1 - p_{2.plus})}{n_2 + 2}}$
where $p_{1.plus} = \dfrac{X_1 + 1}{n_1 + 2}$, $p_{2.plus} = \dfrac{X_2 + 1}{n_2 + 2}$, 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)
Effect size
n.a.
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 $x_k$
Can mental health be predicted from fysical health, economic class, and gender?
Is the proportion smokers different between men and women? Use the normal approximation for the sampling distribution of the test statistic.
SPSS
SPSS
Analyze > Regression > Linear...
Put your dependent variable in the box below Dependent and your independent (predictor) variables in the box below Independent(s)
SPSS does not have a specific option for the $z$ test for the difference between two proportions. However, you can do the chi-squared test instead. The $p$ value resulting from this chi-squared test is equivalent to the two sided $p$ value that would have resulted from the $z$ test. Go to:
Analyze > Descriptive Statistics > Crosstabs...
Put your independent (grouping) variable in the box below Row(s), and your dependent variable in the box below Column(s)
Click the Statistics... button, and click on the square in front of Chi-square
Continue and click OK
Jamovi
Jamovi
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'
Jamovi does not have a specific option for the $z$ test for the difference between two proportions. However, you can do the chi-squared test instead. The $p$ value resulting from this chi-squared test is equivalent to the two sided $p$ value that would have resulted from the $z$ test. Go to:
Frequencies > Independent Samples - $\chi^2$ test of association
Put your independent (grouping) variable in the box below Rows, and your dependent variable in the box below Columns