北大暑期课程《回归分析》Linear Regression Analysis讲义PKU8Word格式.docx

北大暑期课程《回归分析》Linear Regression Analysis讲义PKU8Word格式.docx

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important:

thereisnosimplerelationshipbetween

and

.Sometime,theeffectof

on

ispositive,sometimestheeffectof

on

isnegative.Inotherwords,theeffectof

dependsonthevalueof

.

Suggestion:

plottheregressionforthedatarange.

Onethingwecantell:

When2>

0,theeffectof

increaseswith

;

When2<

decreaseswith

[figure]

II.InterpretationofCoefficientsinPolynomialRegression

RelationshipbetweenYandthe“polynomial”independentvariableisnolongerlinear.

Recallaspecialpropertyofthelinearfunction:

therelationshipbetweenYandanX（sayXk）isconstantforallvaluesofthisXandotherXvariables:

（1）

.

Inapolynomialregression,thissimplerelationshipnolongerholdstrue.Foraquadraticregression,forexample,

（2）

wehave

（3）

whichisdependentonthevalueofXk.

Ingeneral,thesituationwhereasimplelinearrelationshipofequation

（1）isnottrueiscalled“interaction”,atopictowhichwewilldevotealecture.Fornow,letusdefineinteractionasthesituationwherethe“effect”ofanindependentvariabledependsonthevalueofanothervariable.

Inpolynomialregressionsinvolvinganindependentvariableofanorderhigherthan1（i.e.,quadraticorhigher）,wecaninterpretthisasanimplicitinteractionofavariablewithitself.

Example,earningsasafunctionofexperience.Ifthequadraticfunctionistrue,wecanfindavalueofexperiencewhichmaximizesearnings（whichcouldbeeitherwithinareasonablerangeexperiencedbyworkersorinarangeunlikelytobeexperiencedbyworkers）.Useequation（3）toobtaintheyearthatmaximizesearnings:

Thatiswhywewouldwanttosee

and

tobeofdifferentsigns.

InXieandHannum（1996Table1,Model2）,

=0.046,

=-0.000693.Optimalyearofexperienceis:

33.2years,aboutretirementage.InU.S.,itis33.8years.SeeXieandHannum（1996,p.955）.

Notethatbeforethiscriticalvalue,the“effect”ofXkonYisalwayspositive,buttherateoftheincreasedeclines,upto33years.

III.DefiningDummyVariables

Adummyvariableissometimescalledan"

indicatorvariable."

Itreferstothefollowinglogicalcodingschemeforadichotomousvariable:

x=1ifaparticulareventistrue

x=0otherwise.

A.ExamplesofDummyVariables

Sex（Male）:

x1=0iffemale

x1=1ifmale

EmploymentStatus:

x2=0ifnotemployed

x2=1ifemployed

Povertystatus:

x3=0ifnotinpoverty,orhouseholdincome>

threshold.

x3=1ifinpoverty,orhouseholdincome<

B.InterpretationofDummyCoefficients（Intercept?

）

1.Whenadummyvariableistheonlyindependentvariable

Interpretation:

interceptisgroup-specific.

Example:

y=Income,

x=1ifmales

regressyonx1:

y=β0+β1x1

Aswediscussedbefore,regressionshouldbeinterpretedasconditionalmeans.Rememberinyourexercise,ifwehave1astheonlyregressor,theestimatedinterceptisidenticaltothesamplemean.Ifwehaveadummyvariableinaregression,theestimatedcoefficientrepresentsthemeandifferencebetweentwogroups.

Incomeleveloffemales:

β0

Incomelevelofmales:

β0+β1

β1isthemeandifferenceinincomebetweenmalesandfemales.

Ifwecomputethemeansbysex,wegetthesameresults.

Proof:

letusregroupthesamplebysex:

n=n1+n2:

dividethesampleintotwosamples:

malesandfemales.

First,regroupthedataintofemales（x1=0）andmales（x1=1）.Noten1+n2=n.

（overn2meaningsummationfromn1+1ton1+n2,alsodenotedby

=

Howaboutthestandarderrors?

Theycanbedifferent（pooledversusgroup-specificestimatorof）.

2.Whenadummyvariableisusedwithothercontinuousindependentvariables

Twoparallellineswithdifferentintercept.Thereexistsanoveralldifferencealongtheentiredistributionrangeofthecontinuousvariables.[blackboard]drawlines.

Assumption:

thereisnointeraction.

incomeonsexandability.

IV.Whenadummyvariableisusedwithanotherdummyvariable

Fourparallellineswithdifferentintercepts.

nointeractioneitherbetweenthedummyvariablesandthecontinuousvariablesorbetweenthetwodummyvariables.

V.ImportantDifference:

DichotomousVariablesusedasindependentvariablesandasdependentvariables

Independentvariable:

theeffectisashift.

Dependentvariable:

thelinearmodelcannotbetrue.

[blackboard]why?

VI.TheLeastSquaresEstimationwithacontinuousvariableandadummyvariable

Theleastsquaresestimationholdsupforregressionswithdummyvariables.

X=|1,x1x2|,wherex1isacontinuousvariable,x2isadummyvariable.

X'

X:

=|nxi1xi2|

|xi12xi1xi2|

|xi2|

=|nx1in2|

|x1i2x1iovern2|

|n2|

n2isthetotalnumberofcaseswherex2=1istrue.

Allalgorithmsfortheleastsquaresestimationstillhold.

Interpretationof1:

thepureeffectofx1netofoverallgroupdifference.Alsocalled“within-groupaverageeffectofx1”.

1canbeestimatedin3-steppartialregressionmethod:

（1）Regressyonx2,obtainresiduals==y*（whichisthedeviationofyfromthegroupmean）;

（2）Regressx1onx2,obtainresiduals==x1*（whichisthedeviationofx1fromthegroupmean）;

（3）Thenregressy*onx1*,weobtain1,whichisthepure,partialeffectofx1ony.Remembertoadjustfordegreesoffreedom（by1）duetox2.

VI.NominalVariables

Definition:

Anominalvariableisaclassificationsystem.Noinformationaboutorderingisassumedorutilized.Numericalvaluesforanominalvariablearearbitrary,usedforclassificationoridentification.

ForanominalindependentvariablewithJcategories,weuseasetofJ-1dummyvariablesinregressionanalysis.

Sayavariablexhasthreecategories,weneedtouse2dummyvariables（inadditiontotheintercept）:

x1=1ifx=2

x1=0otherwise

x2=1ifx=3

x2=0otherwise

Forexample,forvariableRace:

Race

（2）=1ifBlack

Race（3）=1ifAsian

Inthiscase,Whiteistheexcludedcategory.

Alternatively,

Race（Black）=1ifBlack

Race（Asian）=1ifAsian

Dummyvariablesforanominalvariableshouldappeartogetherinthemodel（ininteractions,forexample）.Theycannothaveinteractionswitheachotherbecausetheydonotoverlap.

Regression:

yisincome

y=0+1Race（black）+2Race（Asian）+

say,b'

=|20,-10,-15|

MeanofWhites:

0=20

MeanofBlacks:

0+1=10

MeanofAsians:

0+2=5

IfwechangethecodingsothatBlackisusedastheexcludedcategory:

y=0+1Race（white）+2Race（Asian）+

0=10=black

1=White-black=10

2=Asian-black=-5

Interpretationofcoefficientsinacomplexmodel:

Ifwehavetwosetsofdummyvariables

y=0+1Race（white）+2Race（Asian）+3Sex（male）+

Whatis0?

Meanincomeleveloffemaleblacks

ReasonisthatexcludedcategoriesareblacksforRaceandfemalesforSex.

Howdowecomputeaveragesforothergroups:

AsianFemale?

Whitemale?

Ifwehavetwodummyvariablesandonecontinuousvariable

y=0+1Race（white）+2Race（Asian）+3Sex（male）+4Ability+

0istheincomeleveloffemaleblackswithzeroscoreofability.Itisanintercept.

[blackboard]Sixparallellines.TwodummyvariablesforRacecannotoverlap.RaceandSexdooverlap.Additivityisassumedhere.WewilldiscussinteractionsonThursday.

VII.TestingforCollapsibilityofCategories.

WecanuseF-testsfornestedmodelstotestthecollapsibilityofcategoriesinanominalvariable.

ConsideraGSSquestionaboutregionofresidenceatage16（REG16）:

OriginalCode

Recode

NewEngland

East

MiddleAtlantic

EastNorthCentral

Midwest

4

WestNorthCentral

SouthAtlantic

South

6

EastSouthCentral

7

WestSouthCent

Mountain

West

9

Pacific

Inregressionanalysis（saywithoccupationalprestigeasthedependentvariable）,wecanuseasetof8dummyvariablesfortheoriginalcodesofthevariable.Wecanalsouseasetof3dummyvariablesafterwecollapsethecodesintoasmallersetof4broaderregions.

Thetwomodelsarenested.Seeexample

TheF-testbetweenthetwonestedmodelstellsuswhetherthecollapsingisjustified.

F（5,550）=[（127029.555-125261.776）/5]/227.75

=[1767.779/5]/227.75=353.56/227.75=1.55,notsignificantat5%.

.recodereg16x（2=1）（4=3）（6=5）（7=5）（9=8）（reg16x:

302changesmade）

.tablereg16,c（meanprestige）

--------------------------reg16|mean（prestige）

----------+---------------

1|39.59259

2|44.01123

|

42.0087

44.51613

39.70115

36.43478

41.32609