Fox Module 12: Statistical inference for multiple regression HW


Fox Module 12: Statistical inference for multiple regression HW

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NEAS
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Module 12: Statistical inference for multiple regression

 

(The attached PDF file has better formatting.)

 

Homework assignment: F test and analysis of variance

 

This homework assignment continues the scenario in Module 9.

 

We regress the Y values on the X1 and X2 values in the table below.

 

X1

X2

Y

X1

X2

Y

X1

X2

Y

X1

X2

Y

1

1

-0.395

1

2

-1.705

1

3

-2.942

1

4

-3.634

2

1

1.942

2

2

0.964

2

3

-2.463

2

4

-1.349

3

1

1.717

3

2

0.206

3

3

0.397

3

4

-0.982

4

1

2.258

4

2

2.908

4

3

-0.092

4

4

-0.235

 


A.     What is the null hypothesis for the omnibus F test?

B.     What are the total sum of squares (TSS), regression sum of squares (ResSS), and residual sum of squares (RSS)?

C.    What are the degrees of freedom for the residual sum of squares and regression sum of squares?

D.    What is the value of the F statistic?

E.     What is the p value for this F statistic?

 


 

A.     Show the formulas and the computations for Parts A through D.

B.     Use Excel or other statistical software to find the p value in Part E.


 

 


Attachments
Fox Module 12 F test ANOVA HW.pdf (1.8K views, 34.00 KB)
horshack
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I am confused as to what part A is asking, can anyone help me understand the question?

[NEAS: The omnibus F-test considers whether all the beta parameters as a group are significant. (To test if each beta parameter individually is significant, we use the t-test.) In other words, do all the explanatory variables (X’s) combined significantly affect the response variable Y?

 

The null hypothesis is not explicitly specified, so we assume the null hypothesis is that all slope coefficients (all the betas) are zero.]

 


CalLadyQED
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Re-read section 6.2.2, the answer is there. If you need review on hypothesis tests, consider looking at a college-level basic statistics text. (I've been refering to my old textbooks repeatedly during this class.) Hope that helps.
SHEHLA
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Do we use the formula at the bottom of page 109 to find the value of F statistic for part D

[NEAS: Use the top half of page 108; that is clearest.]


noturbizniss
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I think you use the formula at the top of page 108.

I'm a bit confused on part A...Help?

Are we just supposed to write down the formula on top of page 108?
Michelle2010
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I need some help on part E.  I'm not sure how to get the p-value for this hypothesis test, and unless I'm confused, I don't believe there is anyway to get it out of the regression option in Excel's analysis toolpak.

The only other way I see to use in Excel for calculating p-values needs the t-value as an input.  It is TDIST(t-statistic, degrees of freedom, number of tails).

Using the formula at the bottom of page 109, F0= {(RegSS1 - RegSS0)/q}/{RSS1/(n-k-1)}, I calculated F0=33.29.

I see in the solution to practice problem 1.2 from "Module 12: Statistical Inference for Multiple Linear Regression" that "in the two-variable regression model, the t statistic is the square root of the F ratio."  I therefore concluded that the t-statistic = +- the square root of 33.29 = +-5.7697.  I calculated the degrees of freedom as n-k-1 = 16-2-1=13.  I then computed the p-value by typing TDIST = (5.7697, 13, 2) in excel : .0001. 

Did I approach the problem correctly?  Also, why does excel give me an error when I attempt to enter the negative t-statistic (TDIST = (-5.7697, 13, 2))?

[NEAS: What you did is correct for one explanatory variable. It is simpler to use the regression add-in, which give p-values for coefficients and for F statistics. You need the regression add-in to easily do multiple regression for the student project. Click on the Tools menu, then data analysis, then regression.]

 

 


noturbizniss
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When you run the regression in excel it gives you the ANOVA and the F stat is in that section of the table. I got 33.2919..., and the next column, "significant F" is the p value.
Also,
the practice problem specifically says the square root rule applies to 2 variable regression, and this problem is 3 variable (X1 X2 and Y), so the t stats are slightly different for this problem.
kelmr2003
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So I don't see how everyone is getting 33.  I have TSS = 54.52, RSS = 45.61, RegSS = 8.91.  This yields F = (8.91/2)/(45.61/13) = 1.27.  I don't know what I'm doing wrong.  Please help, thanks.


mueller1
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You have all the right numbers, just labeled wrong I think.  RegSS=45.61 and RSS=8.9.    Then (45.61/2)/(8.9/13) = 33.3.  Hope that helps.


inani
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I looked at the old text, Regression Analysis, Module 4, "Analysis of variance"
Practice Problems: P-value

It explains how to use the excel function TDIST and TINV. I copy paste the notes below:

Calculating p-values:

Many of the values in the statistical tables in the textbook can be obtained by Excel functions. To find a p-value, use the Excel built-in function TDIST.
Click on the function icon.

Choose the function TDIST. You can search in the statistical functions or you can type in the name. You can also type a related word, such as STUDENT, and Excel shows the three built-in functions for the t distribution.

Click on the function name. Excel puts up a screen asking for three values:
~ The X value, which is the number of standard deviations.
~ The degrees of freedom, which is the number of data points minus the number of explanatory variables.
~ The tails: 2 for a two sided test and 1 for a one-sided test.

To check that you are using this function correctly, enter values for which you know the answer. For example, use 1.96 standard deviations, 10,000 degrees of freedom, and a two sided test. You should get a p-value of 5%. Excel may give you a value of 0.049999,depending on the number of decimal places you are using.

Excel also have a TINV built-in function, which does the reverse conversion: from the pvalue and the degrees of freedom, you obtain the number of standard deviations.

If you read this note carefully, p-value is calculated using TDIST(TINV,degreeOfFreedom,Tail) not TDIST(t-statistic,degreeOfFreedom,tail)

[NEAS: Using Excel’s built-in functions will help you understand the material. To check that you use them correctly, use the regression add-in. This is an add-in, not a built-in function. Excel help says:

 

“Use the Analysis ToolPak to perform complex data analysis: If you need to develop complex statistical or engineering analyses, you can save steps and time by using the Analysis ToolPak. You provide the data and parameters for each analysis, and the tool uses the appropriate statistical or engineering macro functions to calculate and display the results in an output table. Some tools generate charts in addition to output tables. To use the Analysis ToolPak, click Data Analysis in the Analysis group on the Data tab. If the Data Analysis command is not available, you need to load the Analysis ToolPak add-in program.”]


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