Handbook of Regression Analysis

Transcription

1 Handbook of Regression Analysis Samprit Chatterjee New York University Jeffrey S. Simonoff New York University WILEY A JOHN WILEY & SONS, INC., PUBLICATION

2 CONTENTS Preface xi PARTI THE MULTIPLE LINEAR REGRESSION MODEL I Multiple Linear Regression Introduction Concepts and Background Material 4 l.i.i The Linear Regression Model Estimation Using Least Squares j Assumptions g 1.3 Methodology 9 i. 3. i Interpreting Regression Coefficients Measuring the Strength of the Regression Relationship / o Hypothesis Tests and Confidence Intervals for ß Fitted Values and Predictions Checking Assumptions Using Residual Plots Example Estimating Home Prices Summary 19 2 Model Building 23 i.i Introduction 23 i.i Concepts and Background Material Using Hypothesis Tests to Compare Models Collinearity Methodology Model Selection Example Estimating Home Prices (continued) Indicator Variables and Modeling Interactions Example Electronic Voting and the 2004 Presidential Election Summary 46 vii

3 viü CONTENTS PART II ADDRESSING VIOLATIONS OF ASSUMPTIONS 3 Diagnostics for Unusual Observations JJ 3.1 Introduction Concepts and Background Material Methodology Residuals and Outliers $ Leverage Points $ Influential Points and Cook's Distance $g 3.4 Example Estimating Home Prices (continued) Summary 64 4 Transformations and Linearizable Models Introduction Concepts and Background Material: The Log-Log Model Concepts and Background Material: Semilog Models Logged Response Variable Logged Predictor Variable Example Predicting Movie Grosses After One Week Summary 7g 5 Time Series Data and Autocorrelation gi 5.1 Introduction gi 5.2 Concepts and Background Material gj 5.3 Methodology: Identifying Autocorrelation g$ The Durbin-Watson Statistic g The Autocorrelation Function (ACF) # Residual Plots and the Runs Test g7 5.4 Methodology: Addressing Autocorrelation gg Detrending and Deseasonalizing gg Example e-commerce Retail Sales gp Lagging and Differencing 5^ Example Stock Indexes Generalized Least Squares (GLS): The Cochrane- Orcutt Procedure Example Time Intervals Between Old Faithful Eruptions Summary 107 PART III CATEGORICAL PREDICTORS 6 Analysis of Variance Introduction 113

4 CONTENTS ix 6.1 Concepts and Background Material One-Way ANOVA Two-Way ANOVA 11; 6.3 Methodology Codings for Categorical Predictors Multiple Comparisons Levene's Test and Weighted Least Squares Membership in Multiple Groups Example DVD Sales of Movies Higher-Way ANOVA Summary Analysis of Covariance Introduction 13 s) 7.2 Methodology 13p Constant Shift Models Varying Slope Models Example International Grosses of Movies Summary 14$ PART IV OTHER REGRESSION MODELS 8 Logistic Regression Introduction 14p 8.2 Concepts and Background Material /j/ The Logit Response Function ifi Bernoulli and Binomial Random Variables Prospective and Retrospective Designs /JJ 8.3 Methodology /^^ Maximum Likelihood Estimation Inference, Model Comparison, and Model Selection / Goodness-of-Fit / $ Measures of Association and Classification Accuracy Diagnostics Example Smoking and Mortality Example Modeling Bankruptcy Summary Multinomial Regression Introduction Concepts and Background Material 17g Nominal Response Variable Ordinal Response Variable igo 9.3 Methodology ig2

5 X CONTENTS Estimation ig Inference, Model Comparisons, and Strength of Fit Lack of Fit and Violations of Assumptions / Example City Bond Ratings 18S 9.5 Summary Count Regression Introduction Concepts and Background Material The Poisson Random Variable Generalized Linear Models Methodology Estimation and Inference Offsets Overdispersion and Negative Binomial Regression Quasi-likelihood Negative Binomial Regression Example Unprovoked Shark Attacks in Florida 19g 10.6 Other Count Regression Models Poisson Regression and Weighted Least Squares Example International Grosses of Movies (continued) -205; 10. g Summary Nonlinear Regression Introduction 21$ 11.2 Concepts and Background Material Methodology Nonlinear Least Squares Estimation Inference for Nonlinear Regression Models Example Michaelis-Menten Enzyme Kinetics Summary 22 j Bibliography 227 Index 231