STA513-11 Analisis Regresi Berganda

ANALISIS REGRESI BERGANDA
(MULTIPLE REGRESSION ANALYSIS)
Statistics for Business and Economics, 6e © 2007 Pearson Education, Inc. Chap 13-1
The Multiple Regression Model
Idea: Examine the linear relationship between

1 dependent (Y) & 2 or more independent variables (Xi)
Multiple Regression Model with k Independent Variables:
Y-intercept Population slopes Random Error
Y  β0  β1X1  β 2 X 2    βk Xk  ε
Multiple Regression Equation
The coefficients of the multiple regression model are

estimated using sample data
Multiple regression equation with k independent variables:

Estimated Estimated
(or predicted) Estimated slope coefficients
intercept
value of y
yˆ i  b0  b1x1i  b 2 x 2i    bk x ki
In this chapter we will always use a computer to obtain the
regression slope coefficients and other regression
summary measures.
Multiple Regression Equation
(continued)
Two variable model
y
yˆ  b 0  b1x1  b 2 x 2
x2
x1
Standard Multiple Regression
Assumptions
 The values xi and the error terms εi are

independent
 The error terms are random variables with

mean 0 and a constant variance, 2.
E[ε i ]  0 and E[ε i2 ]  σ 2 for (i  1, , n)
(The constant variance property is called

homoscedasticity)
Standard Multiple Regression
Assumptions
(continued)
 The random error terms, εi , are not correlated

with one another, so that
E[ε iε j ]  0 for all i  j
 It is not possible to find a set of numbers, c0,

c1, . . . , ck, such that
c 0  c 1x1i  c 2 x 2i    c K x Ki  0
(This is the property of no linear relation for
the Xj’s)
Example:
2 Independent Variables
 A distributor of frozen desert pies wants to
evaluate factors thought to influence demand
 Dependent variable: Pie sales (units per week)

 Independent variables: Price (in $)
Advertising ($100’s)
 Data are collected for 15 weeks
Pie Sales Example
Pie Price Advertising
Week Sales ($) ($100s) Multiple regression equation:
1 350 5.50 3.3
2 460 7.50 3.3
Sales = b0 + b1 (Price)
3 350 8.00 3.0
4 430 8.00 4.5 + b2 (Advertising)
5 350 6.80 3.0
6 380 7.50 4.0
7 430 4.50 3.0
8 470 6.40 3.7
9 450 7.00 3.5
10 490 5.00 4.0
11 340 7.20 3.5
12 300 7.90 3.2
13 440 5.90 4.0
14 450 5.00 3.5
15 300 7.00 2.7
Estimating a Multiple Linear
Regression Equation
 Excel will be used to generate the coefficients
and measures of goodness of fit for multiple
regression
 Excel:
 Tools / Data Analysis... / Regression
 PHStat:
 PHStat / Regression / Multiple Regression…
Multiple Regression Output
Regression Statistics
Multiple R 0.72213
R Square 0.52148
Adjusted R Square 0.44172
Standard Error 47.46341 Sales  306.526 - 24.975(Pri ce)  74.131(Adv ertising)
Observations 15
ANOVA df SS MS F Significance F
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333
Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
The Multiple Regression Equation
Sales  306.526 - 24.975(Pri ce)  74.131(Adv ertising)

where
Sales is in number of pies per week
Price is in $
Advertising is in $100’s.
b1 = -24.975: sales b2 = 74.131: sales will
will decrease, on increase, on average,
average, by 24.975 by 74.131 pies per
pies per week for week for each $100
each $1 increase in increase in
selling price, net of advertising, net of the
the effects of changes effects of changes
due to advertising due to price
Coefficient of Determination, R2
 Reports the proportion of total variation in y

explained by all x variables taken together
SSR regression sum of squares

R  2

SST total sum of squares
 This is the ratio of the explained variability to

total sample variability
Coefficient of Determination, R2
(continued)
SSR 29460.0
Multiple R 0.72213
R  2
  .52148
R Square 0.52148 SST 56493.3
Standard Error 47.46341
52.1% of the variation in pie sales
Observations 15 is explained by the variation in
price and advertising
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
Estimation of Error Variance
 Consider the population regression model
Yi  β0  β1x1i  β2 x 2i    βK xKi  ε i
 The unbiased estimate of the variance of the errors is

n
 i
e 2
SSE
s2e  i1

n  K 1 n  K 1
where ei  y i  yˆ i
 The square root of the variance, se , is called the

standard error of the estimate
Standard Error, se
Multiple R 0.72213
R Square 0.52148
se  47.463
The magnitude of this
value can be compared to
Observations 15
the average y value
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
Adjusted Coefficient of
Determination, R 2
 R2 never decreases when a new X variable is
added to the model, even if the new variable is
not an important predictor variable
 This can be a disadvantage when comparing
models
 What is the net effect of adding a new variable?
 We lose a degree of freedom when a new X
variable is added
 Did the new X variable add enough
explanatory power to offset the loss of one
degree of freedom?
Adjusted Coefficient of
Determination, R 2
(continued)
 Used to correct for the fact that adding non-relevant
independent variables will still reduce the error sum of
squares
SSE / (n  K  1)
R  1
2
SST / (n  1)
(where n = sample size, K = number of independent variables)
 Adjusted R2 provides a better comparison between

multiple regression models with different numbers of
independent variables
 Penalize excessive use of unimportant independent
variables
 Smaller than R2
2
R
Multiple R 0.72213 R  .44172
2
R Square 0.52148
44.2% of the variation in pie sales is
explained by the variation in price and
Observations 15 advertising, taking into account the sample
size and number of independent variables
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
Coefficient of Multiple
Correlation
 The coefficient of multiple correlation is the correlation
between the predicted value and the observed value of
the dependent variable
R  r(yˆ , y)  R2
 Is the square root of the multiple coefficient of
determination
 Used as another measure of the strength of the linear
relationship between the dependent variable and the
independent variables
 Comparable to the correlation between Y and X in
simple regression
Evaluating Individual
Regression Coefficients
 Use t-tests for individual coefficients

 Shows if a specific independent variable is
conditionally important
 Hypotheses:
 H0: βj = 0 (no linear relationship)
 H1: βj ≠ 0 (linear relationship does exist
between xj and y)
(continued)
H0: βj = 0 (no linear relationship)

H1: βj ≠ 0 (linear relationship does exist
between xi and y)
Test Statistic:
bj  0
t (df = n – k – 1)
Sb j
(continued)
t-value for Price is t = -2.306, with
Multiple R 0.72213
R Square 0.52148
p-value .0398
Standard Error 47.46341 t-value for Advertising is t = 2.855,
Observations 15 with p-value .0145
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
Example: Evaluating Individual
From Excel output:
H0: βj = 0
Coefficients Standard Error t Stat P-value
H1: βj  0 Price -24.97509 10.83213 -2.30565 0.03979
Advertising 74.13096 25.96732 2.85478 0.01449
d.f. = 15-2-1 = 12
 = .05 The test statistic for each variable falls
t12, .025 = 2.1788 in the rejection region (p-values < .05)
Decision:
/2=.025 /2=.025 Reject H0 for each variable
Conclusion:
There is evidence that both
Reject H0 Do not reject H0 Reject H0
-tα/2 tα/2 Price and Advertising affect
0
-2.1788 2.1788 pie sales at  = .05
Confidence Interval Estimate
for the Slope
Confidence interval limits for the population slope βj
b j  t nK 1,α/2Sb j where t has

(n – K – 1) d.f.
Coefficients Standard Error

Intercept 306.52619 114.25389 Here, t has
Price -24.97509 10.83213
(15 – 2 – 1) = 12 d.f.
Advertising 74.13096 25.96732
Example: Form a 95% confidence interval for the effect of

changes in price (x1) on pie sales:
-24.975 ± (2.1788)(10.832)
So the interval is -48.576 < β1 < -1.374
Confidence Interval Estimate
for the Slope
(continued)
Confidence interval for the population slope βi
Coefficients Standard Error … Lower 95% Upper 95%

Intercept 306.52619 114.25389 … 57.58835 555.46404
Price -24.97509 10.83213 … -48.57626 -1.37392
Advertising 74.13096 25.96732 … 17.55303 130.70888
Example: Excel output also reports these interval endpoints:

Weekly sales are estimated to be reduced by between 1.37 to
48.58 pies for each increase of $1 in the selling price
Test on All Coefficients
 F-Test for Overall Significance of the Model
 Shows if there is a linear relationship between all
of the X variables considered together and Y
 Use F test statistic
 Hypotheses:
H0: β1 = β2 = … = βk = 0 (no linear relationship)
H1: at least one βi ≠ 0 (at least one independent
variable affects Y)
F-Test for Overall Significance
 Test statistic:
MSR SSR/K
F 2 
se SSE/(n  K  1)
where F has k (numerator) and

(n – K – 1) (denominator)
degrees of freedom
 The decision rule is
Reject H0 if F  Fk,nK 1,α

(continued)
Multiple R 0.72213
MSR 14730.0
R Square
Adjusted R Square
0.52148
0.44172
F   6.5386
MSE 2252.8
With 2 and 12 degrees P-value for
Observations 15
of freedom the F-Test
Regression 2 29460.027 14730.013 6.53861 0.01201
Residual 12 27033.306 2252.776
Total 14 56493.333

Intercept 306.52619 114.25389 2.68285 0.01993 57.58835 555.46404
Price -24.97509 10.83213 -2.30565 0.03979 -48.57626 -1.37392
Advertising 74.13096 25.96732 2.85478 0.01449 17.55303 130.70888
(continued)
H0: β1 = β2 = 0 Test Statistic:

H1: β1 and β2 not both zero MSR
F  6.5386
 = .05 MSE
df1= 2 df2 = 12
Decision:
Critical Since F test statistic is in
Value: the rejection region (p-
F = 3.885 value < .05), reject H0
 = .05
Conclusion:
0 F There is evidence that at least one
Do not Reject H0
reject H0 independent variable affects Y
F.05 = 3.885
Tests on a Subset of
 Consider a multiple regression model involving

variables xj and zj , and the null hypothesis that the z
variable coefficients are all zero:
yi  β0  β1x1i    βK xKi  α1z1i  αr zri  ε i
H0 : α1  α2    αr  0
H1 : at least one of α j  0 (j  1,...,r)
Tests on a Subset of
(continued)
 Goal: compare the error sum of squares for the

complete model with the error sum of squares for the
restricted model
 First run a regression for the complete model and obtain SSE
 Next run a restricted regression that excludes the z variables
(the number of variables excluded is r) and obtain the
restricted error sum of squares SSE(r)
 Compute the F statistic and apply the decision rule for a
significance level 
( SSE(r)  SSE ) / r
Reject H0 if F  2
 Fr,nK r 1,α
se
Prediction
 Given a population regression model
yi  β0  β1x1i  β2 x 2i    βK xKi  ε i (i  1,2,,n)
 then given a new observation of a data point

(x1,n+1, x 2,n+1, . . . , x K,n+1)
the best linear unbiased forecast of y^n+1 is
yˆ n1  b0  b1x1,n1  b2 x 2,n1    bK xK,n1

 It is risky to forecast for new X values outside the range of the data used
to estimate the model coefficients, because we do not have data to
support that the linear model extends beyond the observed range.
Using The Equation to Make
Predictions
Predict sales for a week in which the selling
price is $5.50 and advertising is $350:
Sales  306.526 - 24.975(Pri ce)  74.131(Adv ertising)

 306.526 - 24.975 (5.50)  74.131 (3.5)
 428.62
Note that Advertising is

Predicted sales in $100’s, so $350
means that X2 = 3.5
is 428.62 pies
Predictions in PHStat
 PHStat | regression | multiple regression …
Check the
“confidence and
prediction interval
estimates” box
Predictions in PHStat
(continued)
Input values
<
Predicted y value
Confidence interval for the
<
mean y value, given
these x’s
Prediction interval for an
<
individual y value, given
these x’s
Residuals in Multiple Regression
Two variable model
y Sample
yi observation yˆ  b 0  b1x1  b 2 x 2
Residual =
<
ei = (yi – yi)
<
yi
x2i
x2
x1i
x1
Dummy Variables
 A dummy variable is a categorical independent

variable with two levels:
 yes or no, on or off, male or female
 recorded as 0 or 1
 Regression intercepts are different if the variable
is significant
 Assumes equal slopes for other variables
 If more than two levels, the number of dummy
variables needed is (number of levels - 1)
Dummy Variable Example
yˆ  b0  b1x1  b 2 x 2
Let:
y = Pie Sales
x1 = Price
x2 = Holiday (X2 = 1 if a holiday occurred during the week)
(X2 = 0 if there was no holiday that week)
Dummy Variable Example
(continued)
yˆ  b0  b1x1  b 2 (1)  (b0  b2 )  b1x1 Holiday
yˆ  b0  b1x1  b 2 (0)  b0  b1x1 No Holiday
Different Same
intercept slope
y (sales)
If H0: β2 = 0 is
b0 + b2 rejected, then
b0 “Holiday” has a
significant effect
on pie sales
Statistics for Business and Economics, 6e © 2007 Pearson Education, Inc.

x1 (Price) Chap 13-39
Interpreting the
Dummy Variable Coefficient
Example: Sales  300 - 30(Price)  15(Holiday )
Sales: number of pies sold per week
Price: pie price in $
1 If a holiday occurred during the week
Holiday:
0 If no holiday occurred
b2 = 15: on average, sales were 15 pies greater in

weeks with a holiday than in weeks without a
holiday, given the same price
Interaction Between
Explanatory Variables
 Hypothesizes interaction between pairs of x

variables
 Response to one x variable may vary at different
levels of another x variable
 Contains two-way cross product terms
 yˆ  b0  b1x1  b2 x 2  b3 x 3
 b0  b1x1  b2 x 2  b3 (x1x 2 )
Effect of Interaction
 Given: Y  β  β X  (β  β X )X
0 2 2 1 3 2 1
 β0  β1X1  β2 X2  β3 X1X2
 Without interaction term, effect of X1 on Y is

measured by β1
 With interaction term, effect of X1 on Y is
measured by β1 + β3 X2
 Effect changes as X2 changes
Interaction Example
Suppose x2 is a dummy variable and the estimated
regression equation is yˆ  1 2x 1  3x 2  4x 1x 2
y
12
x2 = 1:
^y = 1 + 2x + 3(1) + 4x (1) = 4 + 6x
8 1 1 1
4 x2 = 0:
^y = 1 + 2x + 3(0) + 4x (0) = 1 + 2x
1 1 1
0
x1
0 0.5 1 1.5
Slopes are different if the effect of x1 on y depends on x2 value
Significance of Interaction Term
 The coefficient b3 is an estimate of the difference
in the coefficient of x1 when x2 = 1 compared to
when x2 = 0
 The t statistic for b3 can be used to test the
hypothesis
H0 : β3  0 | β1  0, β2  0
H1 : β3  0 | β1  0, β2  0
 If we reject the null hypothesis we conclude that there is
a difference in the slope coefficient for the two
subgroups
Multiple Regression Assumptions
Errors (residuals) from the regression model:
<
ei = (yi – yi)
Assumptions:
 The errors are normally distributed
 Errors have a constant variance
 The model errors are independent
Analysis of Residuals
in Multiple Regression
 These residual plots are used in multiple

regression:
<
 Residuals vs. yi
 Residuals vs. x1i
 Residuals vs. x2i
 Residuals vs. time (if time series data)
Use the residual plots to check for
violations of regression assumptions

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ANALISIS REGRESI BERGANDA

(MULTIPLE REGRESSION ANALYSIS)

Idea: Examine the linear relationship between

Multiple Regression Model with k Independent Variables:

Y-intercept Population slopes Random Error

The coefficients of the multiple regression model are

Multiple regression equation with k independent variables:

 The values xi and the error terms εi are

 The error terms are random variables with

E[ε i ]  0 and E[ε i2 ]  σ 2 for (i  1, , n)

(The constant variance property is called

 The random error terms, εi , are not correlated

 It is not possible to find a set of numbers, c0,

 Dependent variable: Pie sales (units per week)

 Data are collected for 15 weeks

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Sales  306.526 - 24.975(Pri ce)  74.131(Adv ertising)

 Reports the proportion of total variation in y

SSR regression sum of squares

 This is the ratio of the explained variability to

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

 The unbiased estimate of the variance of the errors is

 The square root of the variance, se , is called the

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

 Adjusted R2 provides a better comparison between

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

 Use t-tests for individual coefficients

H0: βj = 0 (no linear relationship)

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

b j  t nK 1,α/2Sb j where t has

Coefficients Standard Error

Example: Form a 95% confidence interval for the effect of

Coefficients Standard Error … Lower 95% Upper 95%

Example: Excel output also reports these interval endpoints:

where F has k (numerator) and

Reject H0 if F  Fk,nK 1,α

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

H0: β1 = β2 = 0 Test Statistic:

 Consider a multiple regression model involving

yi  β0  β1x1i    βK xKi  α1z1i  αr zri  ε i

 Goal: compare the error sum of squares for the

yi  β0  β1x1i  β2 x 2i    βK xKi  ε i (i  1,2,,n)

 then given a new observation of a data point

yˆ n1  b0  b1x1,n1  b2 x 2,n1    bK xK,n1

Sales  306.526 - 24.975(Pri ce)  74.131(Adv ertising)

Note that Advertising is

Prediction interval for an

 A dummy variable is a categorical independent

yˆ  b0  b1x1  b 2 (1)  (b0  b2 )  b1x1 Holiday

yˆ  b0  b1x1  b 2 (0)  b0  b1x1 No Holiday

Statistics for Business and Economics, 6e © 2007 Pearson Education, Inc.

b2 = 15: on average, sales were 15 pies greater in

 Hypothesizes interaction between pairs of x

 Contains two-way cross product terms

 Without interaction term, effect of X1 on Y is

Errors (residuals) from the regression model:

 These residual plots are used in multiple

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