Generalized Linear Models

Statistics GU4232/GR5232
Spring 2017

InstructorMichael Sobel Teaching AssistantRobin Winstanley

mes105@columbia.edu rmw2145@columbia.edu
1008 SSW

The purposes of this course are 1) to introduce statistics graduate students

(and others who have already taken probability, statistical inference, and linear
regression analysis) to a class of models (generalized linear models or GLM)
which can be viewed as a generalization of the linear regression model with
normal errors with which you are already familiar, and 2) to study a number of
useful applications of these models.
The generalization itself is in two directions. In the basic GLM, the normal
distribution assumption is replaced by the assumption that the outcome variable
is in the exponential family. In the linear regression model, the mean is a
linear function of the independent variables, and in the GLM, the mean may
be related to the independent variables in a more general way. Mathematically,
the generalization is very useful, as it permits the models in this class, for
example, logistic regression models, probit models, Poisson regression models,
to be treated in one unified manner. This is particularly useful for estimation
theory and inference.
While the unified mathematical framework is very important, understanding
the various applications raises other considerations, as, for example, a coefficient
in a logistic regression does not have the same interpretation as a coefficient in
a linear regression. Thus, the various applications must also be understood on
their own terms. To do so, it is useful to begin by studying measures of as-
sociation appropriate for different kinds of data. Special attention is focused
on measures for categorical data. This is the pre-modelling part of the course.
Next, the GLM is introduced. Following that, applications of GLMs (and re-
lated models) are studied in some depth. Special attention is given to logistic
regression and various extensions, such as the cumulative logit model and the
multinomial logit model, as well as some of their normal theory analogues (for
example, the probit model and the cumulative probit model). Log-linear models
are then taken up. Time permitting, marginal models for categorical data and
generalized linear mixed models will be taken up.

Grading. There will be two midterms, each 25% and a cumulative final (50%).
The first exam is on February 21. The second will be in early April (exact
date to be determined). Makeup exams are not given. There will also be 4 or
5 homeworks, for which answer keys will be provided; however, the homework
will not be graded. Please also note that the work you turn in on your exams
must be exclusively your own; if it is not, an F for the class will be given and
the case turned over to GSAS.

1
Required Text Agresti, Alan. 2013. Categorical Data Analysis, Third Edi-
tion. Wiley: New York. Note: the third edition is rather different than the
secondyou really need the third edition.

READINGS AND TENTATIVE TIMETABLE

Weeks 1-3 Agresti, chapters 1-3. Introduction, measures of association for
two way contingency tables, the 2 and likelihood ratio tests for independence,
association in the three way table, inference.
Weeks 4-6. Agresti, chapter 4. Generalized linear models.
Week 7-9 Agresti, chapters 5-7. Logistic regression, logit models for ordinal
and nominal responses with more than two categories.
Weeks 10-12. Agresti, chapters 8 and 9 and selected portions of chapter 10.
Loglinear models for two way and higher way tables, including square tables
and ordered models.
Remainder. Agresti, selected portions of chapters 11 and 12. GEE and gen-
eralized linear mixed models.