STAT 452/652 - MINITAB LAB 6 MULTIPLE REGRESSION - choosing the best model The data for todays lab

work is in the MINITAB PROJECT le: regression hwk data.MPJ on the Gauss classdata drive in math452 652 folder. The data for the second regression homework is in the same folder, le: regression hwk2 data.MPJ. The data set we will work with in class today is your homework data set from last week. In both data sets response variable is y, explanatory variables are xs. Today we will learn how to chose the best multiple regression model using several criteria and procedures for doing so. In MINITAB we can chose the best MLR model using one of the following algorithms:

1. Stepwise procedures (a) Forward selection (b) Backward elimination (c) Stepwise regression 2. Best Subsets Regression. We will nd best MLR model(s) for y using all or a subset of predictors: X1 , X2 , X3 . 1. Stepwise Regression. We use MINITABs Regression- Stepwise Regression procedure. In the dialog box, we need to chose response (y) and predictors to chose from: X1 , X2 , X3 . We can chose a starting model by specifying starting predictors in the Enter box. We can force predictor(s) to be included in the model independently from the results of the Stepwise procedure by listing it in the predictors to include in every model box. Then, we have to chose values of the F statistic for the partial F tests that will determine if a variable is to enter or be removed from the model. Alternatively, we can make decisions about which variables to add and which to delete using signicance level . We will use Fvalues. To do that, click on the Methods button and specify F-to-enter and F-to-remove. The default values of 4 are perfectly OK, but you can change them if you like. If both are 4, then in any step of the procedure any variable that has partial F statistic larger than 4 will be included in the model and any predictor with partial F statistic less than 4 will be removed from the model. When you run the Stepwise Regression procedure, you should end up with two steps and the best model including X1 and X3 . 2. Forward selection. In a Forward selection procedures, we start with no predictors and add individual predictors one by one. Once added, a predictor is never removed. We add a predictor if it is signicant and has the largest value of the F statistics for the partial F test. We will use MINITABs Stepwise Regression procedure to perform Forward Selection. In Methods select Forward Selection) and select F-to-enter value. To start with no predictors leave the Enter dialog box empty. When you run the Stepwise Regression with Forward selection method you should end up with two steps and the best model including X1 and X3 .

3. Backward elimination. In a Backward elimination procedure, we start with all predictors and remove individual predictors one by one. Once removed, a predictor is never added. We remove a predictor if it is signicant and has the smallest value of the F statistics for the partial F test. We will use MINITABs Stepwise Regression procedure to perform Backward Elimination. In Methods select Backward Elimination and select F-to-remove value. To start with all predictors list them all in the Enter dialog box. When you run the Stepwise Regression as Backward Elimination procedure you should end up with two steps and the best model including X1 and X3 . 4. Best Subsets Regression. In Best Subsets regression, we check ALL possible models and compare them with respect to overall measures of quality. MINITAB checks the 2 models based on adjusted R2 , that is Ra . For each number of predictors in the model, it 2 prints several statistics for the best two models with that number of predictors: R2 , Ra , Cp , and s. We use these results to chose the best model. To run Best Subsets regression chose Regression- Best Subsets. In the main dialog box list y as response and X1 , X2 , X3 as Free predictors. If you want to force some predictor(s) to be included in all models list it in the Predictors in All Models window. You can use default Options. Best model 2 will have large Ra and small Cp and s. If you run the Best Subsets regression, your best model will include X1 and X3 . HOMEWORK - due at class time Nov 7, 2006. Use the data set regression hwk2 data.MPJ. Find 1. The best MLR model for y using a Stepwise procedure (Stepwise regression or Forward selection or Backward elimination). Include all information necessary for supporting your claim that the model you present is best. 2. The best MLR model for y using the Best Subsets regression. Include all information necessary for supporting your claim that the model you present is best. Are these two best models the same? If not, which would you chose as THE best model for y? Include all information you used for supporting your claim that the model you present is overall THE best.