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PY206: Statistical Methods for Psychology Multiple Regression

Multiple Regression: Part I


z Howell: Chapter 15
z Last updated: 9/27/04

Slide 1 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

Slide 2 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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)

„ Consider Overall as the dependent measure and let’s try


to predict it based on the other five variables

Slide 3 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Example
z Let’s consider the pattern of pairwise correlations

Overall Teach Exam Knowl Grade Enroll


Overall 1 0.804 0.596 0.682 0.301 -0.24
Teach 1 0.72 0.526 0.469 -0.451
Exam 1 0.451 0.61 -0.558
Knowl 1 0.224 -0.128
Grade 1 -0.337
Enroll 1

z Teach, Knowledge, and Exam have highest correlation


with Overall

Slide 4 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

Slide 5 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Example
z Fitted regression equation:
Yˆ = −1.195 + 0.763Teach + 0.132Exam + 0.498Knowledge
−0.184Grade + 0.0005Enroll

z If all other variables are held constant:


„ Predicted Y would be higher 0.763 for every Teach unit
„ Predicted Y would be higher 0.0005 for every Enroll unit

z Improving variable i by one unit does not necessarily


improve Overall by biOverall units
„ Changing one variable likely will affect other variables because
of the pattern of intercorrelations

Slide 6 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

z Relative magnitudes of the coefficients are in part a


function of the standard deviations of the corresponding
variables
„ Because SD of Enroll is much larger than SD of other variables,
the regression coefficient is small regardless of the importance
of that variable

Slide 7 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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)

Slide 8 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Standardized regression coefficients


z Question of relative importance has several answers…
z Suppose that before applying the multiple regression
equation, we had standardized each of our variables
„ mean = 0 and SD = 1

z One-unit difference on one variable would be comparable


to a one-unit difference on other variables
z Solving the regression using standardized variables:
YˆZ = 0.662 Z1 + 0.106Z 2 + 0.325Z 3 − 0.105Z 4 + 0.124 Z 5

Slide 9 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Example

YˆZ = 0.662 Z1 + 0.106Z 2 + 0.325Z 3 − 0.105Z 4 + 0.124 Z 5

z Although relative magnitude of coefficients is not


necessarily the best indicator of importance, it has a
simple interpretation and provides a rough estimate of
the relative contributions of the variables
„ Commonly used

Slide 10 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Residual variance
z Predictor variables will not predict Y perfectly
z Error: residual variance or residual error

∑ (Y − Yˆ ) 2

= MS residual = MSE = s0.12345


2

N − p −1

z Goal is to minimize residual error


z Square root of MSresidual is sometimes called standard
error of estimate

Slide 11 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Residual variance
z Remember from simple regression that

sY ⋅X =
2 ∑ i
(Y − Yˆ ) 2

=
SS residual
N −2 df

z In the case of multiple regression: df = N – p – 1


(where p is the number of regressors)

Slide 12 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Multiple correlation coefficient


z Correlation coefficient in the context of multiple
regression
„ Ex.: between Overall and other predictors: 0.869
z What does this mean?
z R can be defined as the correlation between the
criterion (Y) and the best linear combination of the
predictors
R = rYYˆ

Yˆ = b0 + b1 X 1 + b2 X 2 + L + bp X p

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PY206: Statistical Methods for Psychology Multiple Regression

Multiple correlation coefficient

SSR SSE
R =
2
= 1−
SSTO SSTO

z R2 can be interpreted in terms of percentage of


accountable variation
z R2 = 0.755: we can say that 75.5% of the variation in
Overall quality of the lectures can be predicted on the
basis of the five predictors
„ 11% more than on the basis of Teach alone (best
predictor)

Slide 14 Luiz Pessoa, Brown University © 2004


Partitioning of deviations
z Sum of squares that is related to regression (SSR):

∑ (Yi − Y ) = SSYˆ
ˆ 2

z Sum of squares that is related to residual (error; SSE):

∑ (Yi − Yi ) = SSresidual
ˆ 2

z Sum of squares related to total deviation (SSTO):

∑ i
(Y − Y ) 2
= SSY
PY206: Statistical Methods for Psychology Multiple Regression

Multiple correlation coefficient


z Adding more X variables to a regression model can only increase R2
and never reduce it, because SSE can never become larger with
more X variables and SSTO is always the same
z It is often suggested that R2 be adjusted to take into account the
number of X variables in the model: adjusted coefficient of
multiple determination (“Ajusted R Square”)
z Adjust R2 by dividing each sum of squares by degrees of freedom:
SSE
N − p −1
Ra2 = 1 − SSTO
N −1

z Not commonly reported in papers… (probably should)

Slide 16 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Testing the significance of R2


z Does the set of variables taken together predict Y at
better-than-chance levels?

z H0: R* = 0, where R* is correlation in the population


( N − p − 1) R 2
F=
p (1 − R 2 )

which is distributed as the standard F distribution on p and


N – p – 1 degrees of freedom

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PY206: Statistical Methods for Psychology Multiple Regression

F distribution

Slide 18 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Example

(50 − 5 − 1)(0.755) 44(0.755)


F= = = 27.184
5(0.245) 1.225

z We can reject the null hypothesis

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PY206: Statistical Methods for Psychology Multiple Regression

F test for regression relation


z Is there a regression relation between the response
variable Y and the set of X variables?

H 0 : b1 = b2 = L = bp = 0
H a : not all bi equal zero

MSR
F=
MSE

z MSR: mean square regression: SSR/df (df = p)


z MSE: mean square error: SSE/df (df = N – p – 1)
Slide 20 Luiz Pessoa, Brown University © 2004
PY206: Statistical Methods for Psychology Multiple Regression

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

Total deviation Residual deviation Regression deviation

Slide 21 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Tests on regression coefficients


z If coefficients are not significantly different from zero,
predictor will serve no use
z To determine this we need to know the standard error of
the bi
„ Remember that the standard error refers to the variability of the
statistic over repeated sampling
z We can then form a t test on the regression coefficients
b j − b*j
t=
sb j

where bj* is the true value of the coefficient in the


population and sbj is the standard error of bj
Slide 22 Luiz Pessoa, Brown University © 2004
PY206: Statistical Methods for Psychology Multiple Regression

Tests on regression coefficients


z Typically we test H0: bj* = 0
bj
t=
sb j

z For Teach we have: t = 0.763/0.133 = 5.742


„ N – p – 1 = 50 – 5 – 1 = 44 df
„ We can reject the null hypothesis

z Exam is not significant: t = 0.8


„ Drop Exam from the model?
„ A test of a predictor is done in the context of all other variables
in the equation

Slide 23 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

Example
z Note that Exam is actually significantly correlated with
Overall (r = 0.596)
z Nothing useful to contribute once other variables are
included

Slide 24 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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!

Slide 25 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

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PY206: Statistical Methods for Psychology Multiple Regression

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

Slide 27 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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)

Partialling out and ignoring


are very different!

z When X1 and X2 are independent,


regression coefficients will be equal in both cases
Slide 28 Luiz Pessoa, Brown University © 2004
PY206: Statistical Methods for Psychology Multiple Regression

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

Slide 29 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

Slide 30 Luiz Pessoa, Brown University © 2004


PY206: Statistical Methods for Psychology Multiple Regression

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

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PY206: Statistical Methods for Psychology Multiple Regression

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

z In each case, residuals indicate variation of Income and


Success that cannot be attributed to IQ
z Question: Can variation in Income-independent-of-IQ
be predicted by variation in Success-independent-of-IQ?
z Correlation between the two variables is the partial
correlation of Income and Success
„ Partialling out effect of IQ
Slide 32 Luiz Pessoa, Brown University © 2004
PY206: Statistical Methods for Psychology Multiple Regression

Another example
z Example: compute the
partial correlation
between Y and X1: r01.2

cov X1rYr
r= = 0.738
s X1r sYr

Slide 33 Luiz Pessoa, Brown University © 2004