Class business PS is due Wed. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
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1 Multivariate Regression Prof. Jacob M. Montgomery Quantitative Political Methodology (L32 363) November 14, 2016 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
2 Class business PS is due Wed. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
3 Class business PS is due Wed. You should take notes on this one. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
4 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
5 So far we have looked at data like this Incumbent party share of vote Q2 GDP Growth Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
6 Motivating example: Presidential elections But what if it s time for a change? Table: Success of Incumbent Party Candidate in Presidential Electios by Type of Election, Results First-Term Second- or Later Won 8 2 Lost 1 8 Average vote Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
7 Accounting for time in o ce Estimate a more complex equation: where: µ y is mean presidential vote share b 0 is the y-intercept ( constant ) b 1 is the slope ( coe µ y = b 0 + b 1 x 1 + b 2 x 2 cient ) for Q2 GDP growth x 1 is Q2 GDP growth in the election year b 2 is the slope ( coe cient ) for TFC ( time for a change ) x 2 is an indicator ( dummy ) variable for TFC (1=first term; 0=second term or later) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
8 Multivariate regression Equation for the graph: Vote share = Q2 GDP FirstTermInc or Vote share TFC = Q2 GDP Vote share Not TFC = Q2 GDP Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
9 Multivariate regression Incumbent party share of vote Q2 GDP Growth Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
10 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
11 Multivariate regression Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
12 Beyond two dimensions Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
13 Beyond two dimensions Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. Two questions to try to understand: What do the coe cients (and standard errors) mean? Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
14 Beyond two dimensions Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. Two questions to try to understand: What do the coe cients (and standard errors) mean? Why did the 2nd Quarter GDP coe cient change? Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
15 Now we need to think about data like this Vote Share nd Quarter GDP June Approval Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
16 Which can also be thought of like this 60 Vote share nd Quarter GDP 0 Lecture 20 (QPM 2016) Multivariate Regression November 14, / June approval
17 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
18 To draw the best line we wanted to minimize error Residuals e i =(Y i Ŷ i )=(Y i â ˆbX i ) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
19 To draw the best line we wanted to minimize error Residuals e i =(Y i Ŷ i )=(Y i â ˆbX i ) Incumbent party share of vote Residuals for presidential regression nd quarter GDP Growth Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
20 Residuals for multiple regression 60 Vote share nd Quarter GDP June approval Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
21 Multidimensional linear models On average, we are hypothesizing that the world looks like this: E (Y )=a + b 1 X b k X k Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
22 Multidimensional linear models On average, we are hypothesizing that the world looks like this: E (Y )=a + b 1 X b k X k Overall, we think that the data looks like this Y i = a + b 1 X 1,i b k X k,i + e i e i N(0, s 2 ) Just like before, we need to decide on a rule to choose the best estimates: â, ŝ 2, ˆ b 1, ˆ b 2,... Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
23 Residuals, SSE, and ŝ 2 Residuals e i =(Y i Ŷ i )=(Y i â ˆ b 1 X 1i... ˆ b k X ki ) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
24 Residuals, SSE, and ŝ 2 Residuals e i =(Y i Ŷ i )=(Y i â ˆ b 1 X 1i... ˆ b k X ki ) Sum of Squared Error SSE = n  i=1 (Y i Ŷ i ) 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
25 Residuals, SSE, and ŝ 2 Residuals e i =(Y i Ŷ i )=(Y i â ˆ b 1 X 1i... ˆ b k X ki ) Sum of Squared Error SSE = n  i=1 (Y i Ŷ i ) 2 = n  i=1 (Y i â bˆ 1 X 1i... bˆ k X ki ) 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
26 Residuals, SSE, and ŝ 2 Residuals e i =(Y i Ŷ i )=(Y i â ˆ b 1 X 1i... ˆ b k X ki ) Sum of Squared Error SSE = n  i=1 (Y i Ŷ i ) 2 = n  i=1 (Y i â bˆ 1 X 1i... bˆ k X ki ) 2 Conditional Variance: Estimate of variance around hyperplane in population q r ŝ 2 = SSE n (k+1) = Â(Y i Ŷ i ) 2 ) ŝ = SSE n (k+1) n (k+1) = Â(Y i Ŷ i ) 2 n (k+1) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
27 Coe cient of multiple determination Same as before: TSS = Â(Y i Ȳ ) 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
28 Coe cient of multiple determination Same as before: TSS = Â(Y i Ȳ ) 2 SSE = Â(Y i Ŷ i ) 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
29 Coe cient of multiple determination Same as before: TSS = Â(Y i Ȳ ) 2 SSE = Â(Y i Ŷ i ) 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
30 Coe cient of multiple determination Same as before: TSS = Â(Y i Ȳ ) 2 SSE = Â(Y i Ŷ i ) 2 R-squared R 2 = Explained Variance Total Variance = Total Variance - Unexplained Variance Total Variance Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
31 Coe cient of multiple determination Same as before: TSS = Â(Y i Ȳ ) 2 SSE = Â(Y i Ŷ i ) 2 R-squared R 2 = Explained Variance Total Variance = Total Variance - Unexplained Variance Total Variance = TSS SSE TSS Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
32 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
33 Beyond two dimensions Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
34 Conceptualization #1: Planes 60 Vote share nd Quarter GDP June approval Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
35 Conceptualization #2: Lines within groups Let X i take on a value of only 0 or 1. Y i = a + b 1 X i + e i Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
36 Conceptualization #2: Lines within groups Let X i take on a value of only 0 or 1. Y i = a + b 1 X i + e i E (Y i X i = 0) =a E (Y i X i = 1) =a + b Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
37 Conceptualization #2: Lines within groups Let X i take on a value of only 0 or 1. Y i = a + b 1 X i + e i E (Y i X i = 0) =a E (Y i X i = 1) =a + b (This provides the same inference as a t-test) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
38 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
39 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Y i = a + b 1 X i,1 + b 2 X i,2 + e i Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
40 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Y i = a + b 1 X i,1 + b 2 X i,2 + e i E (Y i Blue) =a + b 1 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
41 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Y i = a + b 1 X i,1 + b 2 X i,2 + e i E (Y i Blue) =a + b 1 E (Y i Brown) =a + b 2 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
42 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Y i = a + b 1 X i,1 + b 2 X i,2 + e i E (Y i Blue) =a + b 1 E (Y i Brown) =a + b 2 E (Y i Green) =a Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
43 Nominal data X 1 = {Blue, Not blue}, X 2 = {Brown, Not brown} Y i = a + b 1 X i,1 + b 2 X i,2 + e i E (Y i Blue) =a + b 1 E (Y i Brown) =a + b 2 E (Y i Green) =a Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
44 Ordinal data X = {1, 2, 3, 4, 5} Treating ordinal variable as continuous Treating ordinal variable as distinct categories Y Y X X Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
45 Example: 2009 health care poll Support for Obama health care plan CNN/ORC poll, September 11 13, Strongly oppose Moderately oppose Moderately support Strongly support Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
46 Example: 2009 health care poll Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
47 Example: 2009 health care poll Strongly favor Support for Obama health care plan Moderately favor Moderately oppose Strongly oppose Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
48 Dummy variable regression What is the association between age and support for HCR controlling for party? Goal: Recode age variable (18-29=1, 30-44=2, 45-64=3, 65+=4) into dummy variables Equation: HCR support = b 0 + b 1 Party + b 2 Age b b Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
49 Dummy variable regression results Variable Constant (0.116) Party (0.031) Age (0.13) Age (0.117) Age (0.121) N = 981 R 2 = Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
50 Dummy variable regression Strongly favor Support for Obama health care plan Moderately favor Moderately oppose Strongly oppose GOP Independent Democrat Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
51 Things to note For k levels of your categorical variable, you need to create k 1 dummy variables. The choice of baseline is arbitrary, but you need to know which is the baseline category in order to interpret the results correctly All e ects are relative to the baseline category Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
52 Conceptualization #3: Added variable plots Added-Variable Plots vote others vote others q2gdp others junetrial others Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
53 Thinking about X s from this point of view You are going to be doing this for the homework Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
54 Thinking about X s from this point of view You are going to be doing this for the homework The slope of these lines corresponds to b estimates in the table. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
55 Thinking about X s from this point of view You are going to be doing this for the homework The slope of these lines corresponds to b estimates in the table. Adding additional controls positively correlated to both the vote-share and GDP growth will lower the b for GDP growth. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
56 Thinking about X s from this point of view You are going to be doing this for the homework The slope of these lines corresponds to b estimates in the table. Adding additional controls positively correlated to both the vote-share and GDP growth will lower the b for GDP growth. If we have many variables that are highly co-linear, often called multicollinearity, it will make coe cients smaller (and therefore less likely to be significant). Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
57 Thinking about X s from this point of view You are going to be doing this for the homework The slope of these lines corresponds to b estimates in the table. Adding additional controls positively correlated to both the vote-share and GDP growth will lower the b for GDP growth. If we have many variables that are highly co-linear, often called multicollinearity, it will make coe cients smaller (and therefore less likely to be significant). It is di cult to decide on the right variables, but DO NOT use stepwise methods. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
58 Thinking about X s from this point of view You are going to be doing this for the homework The slope of these lines corresponds to b estimates in the table. Adding additional controls positively correlated to both the vote-share and GDP growth will lower the b for GDP growth. If we have many variables that are highly co-linear, often called multicollinearity, it will make coe cients smaller (and therefore less likely to be significant). It is di cult to decide on the right variables, but DO NOT use stepwise methods. When in doubt, use theory. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
59 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
60 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
61 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) b 1 :Thecoe cient for X 1. Interpretation: A one unit increase X 1 leads to a b 1 increase in Y controlling for the independent e ect of X 2. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
62 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) b 1 :Thecoe cient for X 1. Interpretation: A one unit increase X 1 leads to a b 1 increase in Y controlling for the independent e ect of X 2. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
63 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) b 1 :Thecoe cient for X 1. Interpretation: A one unit increase X 1 leads to a b 1 increase in Y controlling for the independent e ect of X 2. We want to test whether X 1 has any e ect on Y independent of X 2 ˆb 1 t ŝ df =n (k+1) b ˆ1 Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
64 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) b 1 :Thecoe cient for X 1. Interpretation: A one unit increase X 1 leads to a b 1 increase in Y controlling for the independent e ect of X 2. We want to test whether X 1 has any e ect on Y independent of X 2 ˆb 1 t ŝ df =n (k+1) b ˆ1 Just read these values o of the tables Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
65 Inference in regression coe cients Y i = a + b 1 X 1,i + b 2 X 2,i + e i e i N(0, s 2 ) b 1 :Thecoe cient for X 1. Interpretation: A one unit increase X 1 leads to a b 1 increase in Y controlling for the independent e ect of X 2. We want to test whether X 1 has any e ect on Y independent of X 2 ˆb 1 t ŝ df =n (k+1) b ˆ1 Just read these values o of the tables But watch your degrees of freedom. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
66 Inference for the entire model Before we said that R 2 is intuitively R 2 Explained Variance =.Itmakes Total Variance sense then that (1 R 2 ) is the percent of variance we haven t explained. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
67 Inference for the entire model Before we said that R 2 is intuitively R 2 Explained Variance =.Itmakes Total Variance sense then that (1 R 2 ) is the percent of variance we haven t explained. It turns out that: F-statistic for regression F = R 2 /k (1 R 2 )/[n (k + 1)] Here k is the number of covariates (gdp, incumbent, etc.), and n is the number of observations. This will be distributed according to the F-distribution with df 1 = k, anddf 2 = n (k + 1). Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
68 Flashback: Interpreting the F-test Is our model any good? This is a formalized way of asking whether our model is any good. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
69 Flashback: Interpreting the F-test Is our model any good? This is a formalized way of asking whether our model is any good. We compare the amount of variance explained by the regression to the amount unexplained. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
70 Flashback: Interpreting the F-test Is our model any good? This is a formalized way of asking whether our model is any good. We compare the amount of variance explained by the regression to the amount unexplained. I H 0 : Y i = a + e i Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
71 Flashback: Interpreting the F-test Is our model any good? This is a formalized way of asking whether our model is any good. We compare the amount of variance explained by the regression to the amount unexplained. I H 0 : Y i = a + e i I H 1 : Y i = a + X i1 b 1 + X i2 b 2 + X i3 b e i Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
72 Overview: A big day Introducing multivariate regression I An example (time for change model) I (Hyper)planes in (hyper)space I Specifying and estimating the regression model Three ways to think about regression I Hyperplanes I Lines within groups I Added variable plots Inference for multivariate regression A brief word on Simpson s paradox Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
73 Controlling for a variable can change the sign Simpson's Paradox Outcome X1 E (Y )=1 0.25X 1 + 2X 2 Relationship between X 1 and Y is the same across groups. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
74 Controlling for a variable can change the sign Simpson's Paradox Outcome X1 E (Y )=1 0.25X 1 + 2X 2 Relationship between X 1 and Y is the same across groups. We can solve: X 2 = 0 for black observations, X 2 = 2 for red. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
75 Applied example: Income in presidential voting Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
76 Applied example: Income in presidential voting % Clinton Vote HI VT MA CA MD NY UT WA IL RI DE CT NJ NM OR ME FLMI NV VA MN NH NC PA WI GA AZ CO OH TX IA MS SC AK LA MOIN MT KS AR KY AL TN NE SD OK ID ND WV WY State Income Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
77 Applied example Probability Voting Rep Mississippi Ohio Connecticut Probability Voting Rep Mississippi Ohio Connecticut Individual Income Individual Income Gelman et al. (2007): Rich states more likely to vote D (solid circles) Rich within states more likely to vote GOP (open circles) Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
78 Get in the game Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
79 Get in the game Incumbent party vote share Model 1 Model 2 Intercept (1.35) (4.51) 2nd Qtr GDP (0.248) (0.161) June Polling (0.085) Multiple R-Squared Standard errors are in parentheses. N=18. What is the predicted value for 2016? (2nd Quarter GDP = 1.4, June Approval=6) Interpret Model 2 This should include a discussion of both substantive and statistical significance. Lecture 20 (QPM 2016) Multivariate Regression November 14, / 44
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