Analysis U4320
Segment 10
Prof. Sharyn OHalloran
Key Points
Assumptions
Estimation
Hypothesis Testing
I.
Univariate Analysis
1. Regression Line
A. Population
Yi= + Xi + i
Univariate Analysis
(cont.)
i Yi Y
Y=+X
X2
Yield
intercept
X3
X
X
X
X
X
X
X1
=0
X
X
Fertilizer
Univariate Analysis
(cont.)
B. Sample
Univariate Analysis
X2
Yield
X
X
X1
intercept
(cont.)
3
X3
b=0
X
X
Fertilizer
Univariate Analysis
(cont.)
2. Underlying Assumptions
Linearity
The true relation between Y and X is
captured in the equation: Y = a + bX
Homoscedasticity (Homogeneous
Variance)
E(ei2)=
for all i
Univariate Analysis
(cont.)
Independence
Each of the ei's is independent from each
other. That is, the value of one does not effect
the value of any other observation i's error.
Cov(ei,ej) = 0
for i j
Normality
Univariate Analysis
(cont.)
Univariate Analysis
(cont.)
Y$ a bX
Univariate Analysis
(cont.)
xy
b= x 2
a Y bX
Univariate Analysis
(cont.)
Univariate Analysis
(cont.)
Univariate Analysis
(cont.)
Standard Error
Standard error of b =
Standard error of
x 2
= Yi Y 2
x2 = (Xi- X)2
Univariate Analysis
(cont.)
p(b)
SE =
E(b) =
x 2
Univariate Analysis
(cont.)
Univariate Analysis
(cont.)
3. Hypothesis Testing
a) 95% Confidence Intervals ( unknown)
s
= b t.025 SE
x 2
Univariate Analysis
(cont.)
b) P-values
b b0
t
SE
Univariate Analysis
(cont.)
C. Example
Univariate Analysis
(cont.)
Y= a + bX
Estimate b
b = xy / x2 = 8.8 / 62 = 0.142
What does this mean?
Univariate Analysis
Intercept a
(cont.)
Univariate Analysis
(cont.)
Ha: 0;
Univariate Analysis
(cont.)
Univariate Analysis
(cont.)
= .142 .169
-.027 .311
Univariate Analysis
(cont.)
-.027
.311
Univariate Analysis
(cont.)
D. Additional Examples
Univariate Analysis
(cont.)
1. Univariate
Multiple Regression
(cont.)
2. Multivariate
RAIN
Multiple Regression
(cont.)
B. Sample Data
1. Data
Multiple Regression
2. Graph
80
x
x
70
50
40
a
20
30
Y= a+bX
30
60
Yield
(cont.)
20
20
10
x10
100
Multiple Regression
(cont.)
C. Analysis
Multiple Regression
(cont.)
x = (Xi - ) and
X y = (Yi - ) Y
b =
(-100 * - 5) + (100 * 5)
(100 2 + 100 2 )
b = .05
a=
Y bX
a = 45 - .05(200)
a = 35
Multiple Regression
2. Graph
80
x
70
30
60
Yield
(cont.)
20
20
50
40
a
200
300
20
10
10
100
400
Fertilizer
Multiple Regression
(cont.)
Multiple Regression
(cont.)
3. Interpretation
1. Linear Expression
(con
Intercept
Slopes
2. Assumptions
Y= b0 + b1X1 + b2X2 + e.
Linearity
Normality
Homoskedasticity, and
Independence
3. Interpretation
Y = a+ bX
coefficient b = slope
Y/ X= b => Y = b X
The change in Y = b*(change in X)
b = the change in Y that accompanies a unit change in X.
2. OLS Criteria
Yi Y
C. Example
Question:
Does fertilizer still have a
significant effect on yield,
after controlling for rainfall?
E(b) =
Confidence Interval
CI (1) = b1 t.025 * SEb
Degrees of Freedom
(0.1543)
5.41
1. Campaign Spending
2. Obscenity Cases
V. Homework
A. Introduction
Homework
(cont.)
1. Model
MONEY--------------------> PARTYID
GENDER
Homework
****
MULTIPLE
Equation Number 1
(cont.)
REGRESSION
****
Dependent Variable..
MYPARTY
MONEY
MONEY
Multiple R
.13303
R Square
.01770
Adjusted R Square
.01697
Standard Error
2.04682
Analysis of Variance
DF
Sum of Squares
Mean
Square
Regression
Residual
1
1351
101.96573
5659.96036
F=
24.33863
Signif F = .0000
101.96573
4.18946
Homework
****
MULTIPLE
(cont.)
REGRESSION
****
Equation Number 1
Dependent Variable..
MYPARTY
SE B
Beta
MONEY
.052492
4.933
.0000
.010640
(Constant)
2.191874
14.208
.0000
.133028
.154267
Homework
****
MULTIPLE
(cont.)
REGRESSION
****
Equation Number 2
Dependent Variable..
MONEY
MYPARTY
Homework
****
MULTIPLE
(cont.)
REGRESSION
****
Equation Number 2
Dependent Variable..
MYPARTY
GENDER
2..
MONEY
Multiple R
.16199
R Square
.02624
Adjusted R Square
Standard Error
.02480
2.03865
Analysis of Variance
DF
Sum of Squares
Mean
151.18995
75.59497
1350
5610.73614
4.15610
Square
Regression
Residual
F=
18.18892
Signif F = .0000
Homework
****
MULTIPLE
(cont.)
REGRESSION
****
Equation Number 2
Dependent Variable..
MYPARTY
SE B
Beta
Sig T
GENDER
-.391620
.113794
-.093874
-3.441
.0006
MONEY
.046016
.010763
.116615
4.275
.0000
(Constant)
0000
2.895390
.255729
11.322