chapter11(多元线性)概要1.ppt

Multiple Linear Regression Response Variable: Y Explanatory Variables: X1,...,Xk Model (Extension of Simple Regression): E(Y) = a + b1 X1 + ? + bk Xk V(Y) = s2 Partial Regression Coefficients (bi): Effect of increasing Xi by 1 unit, holding all other predictors constant. Computer packages fit models, hand calculations very tedious Prediction Equation Residuals Model Parameters: a, b1,…, bk, s Estimators: a, b1, …, bk, Least squares prediction equation: Residuals: Error Sum of Squares: Estimated conditional standard deviation: Commonly Used Plots Scatterplot: Bivariate plot of pairs of variables. Do not adjust for other variables. Some software packages plot a matrix of plots Conditional Plot (Coplot): Plot of Y versus a predictor variable, seperately for certain ranges of a second predictor variable. Can show whether a relationship between Y and X1 is the same across levels of X2 Partial Regression (Added-Variable) Plot: Plots residuals from regression models to determine association between Y and X2, after removing effect of X1 (residuals from (Y , X1) vs (X2 , X1)) Example - Airfares 2002Q4 Response Variable: Average Fare (Y, in $) Explanatory Variables: Distance (X1, in miles) Average weekly passengers (X2) Data: 1000 city pairs for 4th Quarter 2002 Source: U.S. DOT Example - Airfares 2002Q4 Example - Airfares 2002Q4 Standard Regression Output Analysis of Variance: Regression sum of Squares: Error Sum of Squares: Total Sum of Squares: Coefficient of Correlation/Determination: R2=SSR/TSS Least Squares Estimates Regression Coefficients Estimated Standard Errors t-statistics P-values (Significance levels for 2-sided tests) Example - Airfares 2002Q4 Multicollinearity Many social research studies have large numbers of predictor variables Problems arise when the various predictors are highly related among themselves (collinear) Estimated regression coefficients can change dramatically, depending on whether or not other predictor(s) are included in model