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Regression Analysis a statistical technique that attempts to model, that is specify, the
relationship between a dependent variable and one or more variables.
Linear Regression
cov( xy ) sd ( y ) cov( xy )
b r ( xy )
var( x) sd ( x) sd ( x) sd ( x)
1
cov( xy )
r
sd ( x) sd ( y )
The least squares slope is equal to the Cross Product of X and Y divided by the Total Sum
of Squared Deviations of X from its Mean.
sd ( x)
b r ( xy ) b *
sd ( y )
1 1
The unstandardized coefficient of X represent the unit change in Y, resulting from a 1 unit
change in X. The standardized coefficient of X represent the standard deviation change
in Y, resulting from a 1 standard deviation change in X.
Y-Intercept
b Y b X
0 1
Regression Equation:
Population:
Y X Y X
Sample:
Y a bX e Y a bX Y b b X 0 1
Y-hat
sd ( y ) sd ( y )
b r ( xy ) 0 0
sd ( x) sd ( x)
1
b Y b X Y 0( X ) Y 0 Y
0 1
Y b b X Y 0( X ) Y 0 Y
0 1
Estimated Error a) the difference between the observed value of Y and the predicted
value of Y from the regression equation. The sum of the squared errors is the Residual
Sum of Squares. The difference between the Total Sum of Squares and the Residual Sum
of Squares is the Explained Sum of Squares. The sum of the residuals is zero.
Another way to calculate the Coefficient of Determination (See above) is ESS divided
by TSS, or the proportion of the variation in the observed values of Y that is explained by
the regression.
TSS (Y Y ) i
2
e (Y Y )
e (Y Y ) RSS
2 2
ESS / TSS R 2
ESS TSS RSS (Y Y )
i i
2
RSS
s
nk
e
s
s e
s
bx
b
t Null
s b
H1 : 0 1
b
t
s
b
1 X 2
s s
n 1 ( X X )
b0 e
2
Y b b X b X ...b X
0 1 1 2 2 k 1 k 1
e
Adjusted Rsquared
(Y Y ) /( N K 1)
2
R
i i
2
(Y Y ) /( N 1)
2
i i