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3
2
.5
1
Y = 2 +.5X
-1
Terminology
Dependent variable (DV) = response
variable = left-hand side (LHS) variable
Independent variables (IV) = explanatory
variables = right-hand side (RHS)
variables = regressor (excluding a or b0)
a (b0) is an estimator of parameter , 0
b (b1) is an estimator of parameter , 1
a and b are the intercept and slope
x3
3
e3
y
2
E(Y)=a + bX
x1
e2
e1
x2
3
x
2 (Y Y ) 2 (Y a bX ) 2
(
Y
Y
)
(
Y
bX
)
Min 2 Min(Y a bX )2
(Y a bX ) 2na 2
2
na Y b X 0
Y
X
a
b
n
Y bX
Y 2b X 0
(Y a bX ) 2b
2
Y
X
b X XY
b
n
n
2 XY 2a X 0
b X 2 XY Y bX X 0
b X 2 XY a X 0
2
X 0
X 0
X Y
b X 2 XY b
n
n
2
n X 2 X 2 XY X Y
n
n
n XY X Y
n X 2
( X X )(Y Y ) SP
SS
X
(X X )
Y b X
n
xy
Y bX
2
Y
X
X XY
n X 2 X
Not recommended
x-xbar
y-ybar
(x-xb)(y-yb)
(x-xbar)^2
43
128
-14.5
-8.5
123.25
210.25
48
120
-9.5
-16.5
156.75
90.25
56
135
-1.5
-1.5
2.25
2.25
61
143
3.5
6.5
22.75
12.25
67
141
9.5
4.5
42.75
90.25
70
152
12.5
15.5
193.75
156.25
Mean
57.5
136.5
Sum
345
819
541.5
561.5
( X X )(Y Y ) SP
SS
( X X )
xy
541.5
.9644
561.5
xy
x^2
43
128
5504
1849
48
120
5760
2304
56
135
7560
3136
61
143
8723
3721
67
141
9447
4489
70
152
10640
4900
Mean
57.5
136.5
Sum
345
819
47634
20399
n XY X Y
n X 2 X
81.048
6 20399 345
n X X
2
120
130
140
150
40
50
60
x
Fitted values
70
How to interpret b?
For unit increase in x, the expected
change in y is b, holding other things
(variables) constant.
For unit increase in x, we expect that y
increases by b, holding other things
(variables) constant.
For unit increase in x, we expect that y
increases by .964, holding other
variables constant.
Hypothesis Test of a an b
Variance of b (1)
( X X )(Y Y ) XY nXY ( X X )Y w Y
(
X
X
)
(
X
X
)
(
X
X
)
w Y
i i
wi
(Xi X )
( X i X )2
( X X )(Y Y ) ( XY XY XY XY ) XY XY XY XY
XY Y X X Y nXY XY YnX XnY nXY XY nXY
(c) 2007 IUPUI SPEA K300 (4392)
i i
Variance of b (2)
Variance of Y (error) is 2
Var(kY) = k2Var(Y) = k22
b
( X X )(Y Y ) w Y
( X X )
i i
Var ( ) Var ( wiYi ) w12Var (Y1 ) w22Var (Y2 ) ... wn2Var (Yn )
w12 2 w22 2 ... wn2 2 2 wi2
wi
(Xi X )
( X i X )2
2
(Xi X )
2 wi2 2
2
( Xi X )
( X
(X
X)
2 2
X)
2
( X
X )2
Variance of a
a=Ybar + b*Xbar
Var(b)=2/SSx , SSx = (X-Xbar)2
Var(Y)=Var(Y1)+Var(Y2)++Var(Yn)=n2
Var( ) Var(Y bX ) Var(Y ) Var(bX ) 2Cov(Y , bX )
2
Y
1
2
2
X Var(b) 2 Var( Y ) X
Var
2
n
n
(Xi X )
2
2
1
X
2
2
2
n X
2
2
2
(X X )
n (X X )
n
i
i
Variance of Y or error
(
Y
Y
)
SSE
i
i
2
2
se
MSE
N K
N K
(c) 2007 IUPUI SPEA K300 (4392)
Illustration (1)
No
x-xbar
y-ybar
(x-xb)(y-yb)
(x-xbar)^2
yhat
(y-yhat)^2
43
128
-14.5
-8.5
123.25
210.25
122.52
30.07
48
120
-9.5
-16.5
156.75
90.25
127.34
53.85
56
135
-1.5
-1.5
2.25
2.25
135.05
0.00
61
143
3.5
6.5
22.75
12.25
139.88
9.76
67
141
9.5
4.5
42.75
90.25
145.66
21.73
70
152
12.5
15.5
193.75
156.25
148.55
11.87
Mean
57.5
136.5
Sum
345
819
541.5
561.5
(Y Y )
127.2876
127 .2876
31 .8219
SSE=127.2876, MSE=31.8219
NK
62
2
31.8219
2
Var(b) Var( )
.
0567
.
2381
( X i X )2 561.5
2
e
1 57.52
X2
13.88092
Var(a)
31.8219
2
n (X X )
6 561.5
i
1 1 t 2 se
1
.9644 2.776 .2381
( X i X )2
(c) 2007 IUPUI SPEA K300 (4392)
1
X2
0 0 t 2 se
Questions
140
Yi
Yhat=81+.96X
120
130
Ybar=136.5
40
50
60
x
Fitted values
70
Total
Model
Re sidual ( Error )
2
2
2
(
y
y
)
(
y
y
)
(
y
y
)
i
i
i
i
Total
Model
Re sidual ( Error )
SSM (Yi Y ) 2
i 1
SSE (Yi Y ) 2
i 1
s2
(Y Y )
i 1
NK
SSE
MSE
NK
yhat
(y-ybar)^2
(yhat-ybar)^2
(y-yhat)^2
43
128
122.52
72.25
195.54
30.07
48
120
127.34
272.25
83.94
53.85
56
135
135.05
2.25
2.09
0.00
61
143
139.88
42.25
11.39
9.76
67
141
145.66
20.25
83.94
21.73
70
152
148.55
240.25
145.32
11.87
Mean
57.5
136.5
SST
SSM
SSE
Sum
345
819
649.5000
522.2124
127.2876
122.52=81+.9643, 148.6=.81+.9670
SST=SSM+SSE, 649.5=522.2+127.3
(c) 2007 IUPUI SPEA K300 (4392)
ANOVA Table
H0: all parameters are zero, 0 = 1 = 0
Ha: at least one parameter is not zero
CV is 12.22 (1,4), TS>CV, reject H0
Sources
Sum of Squares
DF
Mean Squares
Model
SSM
K-1
MSM=SSM/(K-1)
MSM/MSE
Residual
SSE
N-K
MSE=SSE/(N-K)
Total
SST
N-1
Sum of Squares
DF
Mean Squares
Model
522.2124
522.2124
16.41047
Residual
127.2876
31.8219
Total
649.5000
Sources
R2 and Goodness-of-fit
1 ( x x )2
n
SS x
1 ( x x )2
y t 2 s 1
n
SS x
(c) 2007 IUPUI SPEA K300 (4392)