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Multiple regression
z In simple regression we have a single predictor
Yˆ = b0 + b1 X 1
z In multiple regression, several explanatory variables are
employed simultaneously
Yˆ = b0 + b1 X 1 + b2 X 2 + L + bp X p
Example
z Course evaluation: 5-point scale
1. Overall quality of lectures (Overall)
2. Teaching skills of the instructor (Teach)
3. Quality of tests and exams (Exam)
4. Instructor’s knowledge of the subject matter (Knowledge)
5. Student’s expected grade (Grade; F=1, A=5)
6. Enrollment (Enroll)
Example
z Let’s consider the pattern of pairwise correlations
Example
z Some variables have relatively high correlations with
each other
Exam and Teach: r = 0.72
Exam and Grade: r = 0.61
Exam and Enrollment: r = –0.558
z Collinearity
When other variables are included as predictors, Exam will have
little to offer in the way of explaining variability in Overall
Example
z Fitted regression equation:
Yˆ = −1.195 + 0.763Teach + 0.132Exam + 0.498Knowledge
−0.184Grade + 0.0005Enroll
Example
z Common interpretation mistake: the relative magnitudes
of the bi provide an index of the relative importance of
the individual predictors
Teach is more important than Enroll because b is larger
Example
z Intuitive reason:
For one instructor to have a Teach rating one point higher
is a major accomplishment (range: 2.2 to 4.5)
Having one additional student is a trivial matter
(range: 7 to 800)
Example
Residual variance
z Predictor variables will not predict Y perfectly
z Error: residual variance or residual error
∑ (Y − Yˆ ) 2
N − p −1
Residual variance
z Remember from simple regression that
sY ⋅X =
2 ∑ i
(Y − Yˆ ) 2
=
SS residual
N −2 df
Yˆ = b0 + b1 X 1 + b2 X 2 + L + bp X p
SSR SSE
R =
2
= 1−
SSTO SSTO
∑ (Yi − Y ) = SSYˆ
ˆ 2
∑ (Yi − Yi ) = SSresidual
ˆ 2
∑ i
(Y − Y ) 2
= SSY
PY206: Statistical Methods for Psychology Multiple Regression
F distribution
Example
H 0 : b1 = b2 = L = bp = 0
H a : not all bi equal zero
MSR
F=
MSE
Partitioning of deviations
Yi − Y Yi − Yˆi Yˆi − Y
Y1 Y1
Yˆ1 Yˆ1
Y Y
Y Yˆ = a + bX Yˆ = a + bX
Yˆ2
Yˆ2
Y2 Y2
Example
z Note that Exam is actually significantly correlated with
Overall (r = 0.596)
z Nothing useful to contribute once other variables are
included
Sample sizes
z When there is no relation between the criterion and the predictors,
the expected value of R is not zero!
p/(N – 1)
z With 5 predictors and 51 cases: R = 0.1
z Large sample are needed (to push “random” R to 0)
z Power of a statistical test: 1 – β: probability of rejecting the null
hypothesis when it is in fact false and should be rejected
z Example: With 5 predictors, a population correlation of 0.3 would
require N = 187 for 0.8 power
z Reasonable amount of power requires fairly large samples!
Partial correlation
z Coefficients in multiple regression are called partial
regression coefficients
z Example: b1 is coefficient for regression of Y on X1
when we partial out the effect of X2, …, Xp: b01.23…p
When other variables are held constant
z Common mistake: equate b1 in the context of the
other Xi with the simple regression coefficient when
ignoring Xi:
b01.2 ≠ b01
Partial correlation
z Example (somewhat exaggerated)
Y 2 1 4 3 6 5
X1 1 2 3 4 5 6
X2 2 2 4 4 6 6
Example
z For any fixed value of X2, slope of the regression line of
Y on X1 is negative (in fact b01.2 = –1 )
z However, regression of Y on X1 when ignoring X2 is
positive (b01 = 0.829)
Interpretation
z Suppose we regress Y on X2 and obtain the residual
values Yr = Yi − Yˆi
z Residual values represent part of Y that cannot be
predicted by X2: independent of X2
z Now regress X1 on X2 generating X 1r = X 1i − Xˆ 1i
z Again, residual values represent part of X1 that is
independent of X2
z We now have two sets of residuals: part of Y and part of
X1 that are independent of X2
Partialled X2 out of Y and out of X1
Interpretation
z Now regress Yr on X1r: regression coefficient will be the
partial coefficient b01.2
z Correlation between Yr and X1r is the partial correlation
of Y and X1, with X2 partialled out: r01.2
covYr X1r
bYr X1r = 2
= −1
s X1 r
= b01.2
Example
z Suppose an investigator established a significant
correlation between earned income and success in college
z Should students study more??
z Both variables are probably linked to IQ
People with high IQ likely do well in college and earn
more
Relationship between income and college success
potentially spurious
z How can this issue be addressed?
Partial out effect of IQ
Example
z Compute partial correlation between Income and
Success with IQ partialled out
1. Regress Income on IQ and obtain residuals
2. Regress Success on IQ and obtain residuals
Another example
z Example: compute the
partial correlation
between Y and X1: r01.2
cov X1rYr
r= = 0.738
s X1r sYr