Lecture 12: Interactions and Splines

Transcription

1 Lecture 12: Interactions and Splines Sandy Eckel 12 May

2 Definition Effect Modification The phenomenon in which the relationship between the primary predictor and outcome varies across levels of another predictor We say the other predictor modifies the effect between the primary predictor and outcome In linear regression, coded by inclusion of interaction term between primary predictor and another predictor Also called interaction 2

3 Reminder: Nested models Parent model contains one set of variables Extended model adds one or more new variables to the parent model one variable added: compare models with t test two or more variables added: compare models with F test Return to the example of wage versus experience 3

4 Model 1 Wage on Experience and Gender E Wage i ] = βˆ + βˆ (Experience ) + βˆ (Gender ) [ 0 1 i 2 i This model allows the average wage to differ for men and women, but the difference in average wage between men and women is always the same regardless of experience level. Hourly Wage We have created two parallel regression lines by including the binary covariate gender Years of Experience Men's hourly wage fit2_men Women's hourly wage fit2_women 4

5 Model 1 Wage on experience and gender E Wage i ] = βˆ + βˆ (Experience ) + βˆ (Gender [ 0 1 i 2 i Gender (0=man, 1=woman) Model results: Source SS df MS Number of obs = F( 2, 531) = Model Prob > F = Residual R-squared = Adj R-squared = Total Root MSE = wagehr Coef. Std. Err. t P> t [95% Conf. Interval] educyrs gender (Intercept) ) 5

6 Model 2 Wage on experience and gender, include interaction Goal: Create a model that allows the average wage to differ for men and women the difference in average wage between men and women to change as experience level increases still will have two regression lines (one for each gender) no longer parallel E[Wagei ] = βˆ 0 + βˆ 1(Experiencei ) + βˆ 2(Genderi ) + βˆ 3(Genderi Experience i ) Interaction variable How do we create it? 6

7 Model 2: Creating the interaction variable Multiply the two X variables gender: 0 for men 1 for women gender*experience = 0*experience = 0 for men = 1*experience = experience for women 7

8 Model 2: R code and output Code in R to create and include interaction: > gendereduc <- gender*educ > lm( wagehr ~ educyrs + gender + gendereduc ) Output (similar to R s output) Source SS df MS Number of obs = F( 3, 530) = Model Prob > F = Residual R-squared = Adj R-squared = Total Root MSE = wagehr Coef. Std. Err. t P> t [95% Conf. Interval] educyrs gender gender_educ (Intercept)

9 Model 2: Interpretation in terms of gender value E[Wagei ] = βˆ 0 + βˆ 1(Experiencei ) + βˆ 2(Genderi ) + βˆ 3(Genderi Experience i ) Equation for men: E[ Wage E[ Wage i i ] = βˆ 0 + βˆ 1 (Experience ] = (Experience i ) i ) Gender: 0 for men 1 for women Equation for women: E[ Wage E[ Wage i i ] = ] = ( βˆ + βˆ ) + ( βˆ + βˆ ) 0 2 (Experience ( ) + ( ) (Experience β 2 : change in mean wage for women vs. men with no experience β 3 : change in slope (of experience) for women vs. men 1 3 i ) i ) 9

10 Model 2: Coefficient Interpretation E[Wagei ] = βˆ 0 + βˆ 1(Experiencei ) + βˆ 2(Genderi ) + βˆ 3(Genderi Experience β 0 : The average wage for men with no experience β 1 : The difference in average wage for a one year increase in experience among men β 2 : The difference in average wage between women and men with no experience i ) β 3 : The difference of the difference in average wage for a one year increase in experience between women and men the change in slope between women and men the slope for women is β 1 +β 3 the slope for men was β 1 10

11 Compare to model 1 In the parent model β 1 was slope for both men and women β 2 was difference between women & men at every experience level In the extended model (with interaction) β 1 is slope for men β 2 is difference between women & men for experience=0 β 3 is change in slope per year of experience between men & women 11

12 Is the change in slope statistically significant? Test model 1 vs. model 2 only 1 variable added use t test for that variable to compare models H 0 : β 3 =0 in the population From the t-statistic, p = 0.27 Fail to reject H 0 Conclude that model 1 is better 12

13 Model 3: Interaction of two binary predictors Model 2: continuous X, binary X, their interaction slope changes by group Model 3: binary X, binary X, their interaction difference in mean changes by group 13

14 Model 3: Wage on gender and married, include interaction E Wagei ] = βˆ 0 + βˆ 1(Genderi ) + βˆ 2( Marriedi ) + βˆ 3(Genderi Married gender: 0 for men 1 for women married: 0 if unmarried 1 if married [ i ) To create the interaction term: gender*married = 0*0 = 0 for unmarried men = 1*0 = 0 for unmarried women = 0*1 = 0 for married men = 1*1 = 1 for married women 14

15 Model 3: Results E[ Wagei ] = βˆ 0 + βˆ 1(Genderi ) + βˆ 2( Marriedi ) + βˆ 3(Genderi Marriedi) Source SS df MS Number of obs = F( 3, 530) = Model Prob > F = Residual R-squared = Adj R-squared = Total Root MSE = wagehr Coef. Std. Err. t P> t [95% Conf. Interval] gender married gender_mar~d (Intercept) Let s visualize what this implies! - basically, we ve created a model that allows for a different mean for each of the 4 possible types of people - the slopes (β 1 β 2 and β 3 ) represent differences in means between groups 15

16 Graph for Model 3 β 3 = Difference of differences Difference = β 1 Difference = β 2 Difference = β 1 +β 3 Mean hourly wage β 0 Difference = β 2 +β unmarried men unmarried women married men married women E[ Wagei ] = βˆ 0 + βˆ 1(Genderi ) + βˆ 2( Marriedi ) + βˆ 3(Genderi Marriedi) 16

17 Model 3: Interpretation β 0 : The average wage for unmarried men β 1 : The difference in average wage between unmarried women and unmarried men β 1 + β 3 : The difference in average wage between married women and married men β 3 : The difference of the difference in average wage between married women and married men and between unmarried women and unmarried men 17

18 Model 3: Interpretation β 0 : The average wage for unmarried men β 2 : The difference in average wage between married men and unmarried men β 2 + β 3 : The difference in average wage between married women and unmarried women β 3 : The difference of the difference in average wage between married women and unmarried women and between married men and unmarried men 18

19 Model 3: conclusion The interaction variable is statistically significantly different from 0 (p=0.001, CI: -4.9 to -1.3 ) The difference in mean hourly wage between women and men is greater for married people than for unmarried people. -or- The difference in mean hourly wage between married people and unmarried people is greater for men than for women. 19

20 Summary Interaction interaction=var1*var2 interaction variable changes interpretation of entire model with interaction, the effect of one variable changes according to the level of the second variable Test for interaction by testing new variable use t-test if significant (p<α, 0 not in CI), keep if not significant, go back to parent model without interaction variable 20

21 Flexibility in linear models In linear regression, we assume the outcome, Y, has a linear relationship with the predictors, X However, we have flexibility in defining the predictors transform X, such as X 2 or X 3 use linear splines to fit broken arrow models 21

22 Linear Splines: when are they needed? Example 1: Outcome is `out of pocket medical expenditures A researcher tells you most Health Management Organizations (HMOs) will usually pay for the first week of a hospital stay only She expects `out of pocket expenditures to increase dramitically if length of stay (LOS) was longer than one week How should we set up the model? Example 2: Outcome is medical expenditures In the US, older adults are eligible for Medicare, a national health insurance program, once they reach the age of 65 We expect study subjects medical expenditure patterns before age 65 to be different from the expenditures after age 65 How should we set up the model? 22

23 Example 1: The researcher hypothesized this regression line for length of stay (LOS) Expenditures Broken Arrow Model length of stay (days) Terminology: Called Linear spline Broken arrow Hockey stick 23

24 Defining the spline variable We define a new variable that checks to see if the slope is indeed different if LOS is greater than 7 Idea, create a term: (LOS-7) + = (LOS 7) if LOS>7 = 0 if LOS<=7 When you run the regression include both LOS (LOS-7) + The spline allows you to change the magnitude of the slope! 24

25 When to use a spline? When a continuous predictor is used, a typical regression equation assumes there is a straight-line relationship between X and Y in the population. If the relationship between X and Y is a bent line a curve adding a spline may more accurately model the relationship between X and Y 25

26 Visualizing the linear spline model 3500 Broken Arrow Model Expenditures Slope = β 1 Slope = β 1 + β length of stay (days) 26

27 The Model E(expenditures) = β 0 + β 1 LOS + β 2 (LOS-7) + Where: (LOS-7)+ = (LOS 7) if LOS>7 0 if LOS<=7 27

28 Then: E(expenditures LOS <= 7) = β 0 + β 1 LOS E(exp LOS > 7)= β 0 + β 1 LOS + β 2 (LOS - 7) = (β 0 - β 2 7)+ (β 1 + β 2 )LOS = β 0 * + β 1 *LOS 28

29 Back to modelling wages Standardized residuals age Do we need a spline on age? 29

30 How should we add the spline? Goal: let the regression line bend Model: E(Wage i ) = β 0 +β 1 (age-35)+β 2 (age-35) + What is (age-35) +? 0 if age<35 (age-35) if age>=35 30

31 Fitted model with spline at 35 Model: E(Wage i ) = β 0 +β 1 (age-35)+β 2 (age-35) + Source SS df MS Number of obs = F( 2, 530) = Model Prob > F = Residual R-squared = Adj R-squared = Total Root MSE = wagehr Coef. Std. Err. t P> t [95% Conf. Interval] age_cent age_spline (Intercept)

32 Fitted Graph (with spline) Solid line: fitted spline, Dotted line: visualize change in slope! Wage ($/hour) age 32

33 Working out what the spline term means... E(Wage i ) = (age-35)-0.37(age-35) + For a person under 35: E(Wage i ) = (age-35)-0.37(age-35) + = (age-35) For a person 35 or older: E(Wage i ) = (age-35)-0.37(age-35) + = (age-35) 0 (age-35) β 1 +β 2 = new slope for those over 35 33

34 Interpretation β 0 is the average wage for people who are 35 years old β 1 is the change in average wage per additional year of age for those under 35 β 2 is the difference in the change in average wage per additional year of age for those over age 35 as compared to those under age 35 β 2 is the change in the slope for over 35 vs. under 35 34

35 Better Interpretation The average wage for people who are 35 years old is $10.45/hour (95% CI: $9.75, 11.16) For each additional year of age, those under age 35 earn an average of $0.33 more per hour (95% CI: $0.24, $0.43) For each additional year of age, those over age 35 earn an average of $0.04 less per hour (95% CI: -$0.10, $0.01) 35

36 Is the change in slope statistically significant? One variable was added to create the change in slope compare nested models with t-test Coefficients Coef. Std. Err. t P> t [95% Conf. Interval] age_cent age_spline (Intercept) H 0 : spline is not needed (no change in slope in the population) p<0.001 or CI does not include 0: reject H 0 Conclude slope differs for those over vs. under 35 in population 36

37 Check the model assumptions again! Note: plots are omitted L Linear relationship With the spline, there is no longer any pattern in the residuals After removing the one outlier, no others appear to stand out I - Independence We cannot check this by looking at the data N Normality of the residuals The residuals are slightly skewed to positive values the estimated regression coefficients are still correct their confidence intervals may be misleading E Equal variance of the residuals across X The vertical spread of the residuals may be smaller for those under 25 years of age the estimated regression coefficients are still correct their confidence intervals may be misleading 37

38 Conclusions The increase in hourly wage with increasing age is statistically significant for those who recently entered the workforce (ages 18-35): for each additional year, these workers earn an average of 33 cents more per hour. However, this increase in wage with increasing age levels off for those over age 35, so that no appreciable increase in average wage is observed for those over age 35. One 21-year-old had much higher earnings ($44.50 per hour) than other young workers. This person s results were so unlike the rest of the sample that the observation was dropped from the analysis. It is possible that the data was incorrectly entered for this person, but we are unable to assess the data entry since the original completed surveys are unavailable. 38

39 A final word on Splines Splines are used to allow the regression line to bend the breakpoint is arbitrary and decided graphically the actual slope above and below the breakpoint is usually of more interest than the coefficient for the spline (i.e., the change in slope) 39

40 Lecture 12 Summary Effect modification Epidemiologic definition Include in model using interaction term 1 binary X, 1 continuous X 2 binary X Linear Splines The relationship between Y and a continuous X may be linear Allow for a change in slope at a certain point in the continuous X 40