Escolar Documentos
Profissional Documentos
Cultura Documentos
y b b x = +
is the estimated value of y for a given x value.
y
b
1
is the slope of the line.
b
0
is the y intercept of the line.
The graph is called the estimated regression line.
Estimation Process
Regression Model
y = |
0
+ |
1
x +c
Regression Equation
E(y) = |
0
+ |
1
x
Unknown Parameters
|
0
, |
1
Sample Data:
x y
x
1
y
1
. .
. .
x
n
y
n
b
0
and b
1
provide estimates of
|
0
and |
1
Estimated
Regression Equation
Sample Statistics
b
0
, b
1
0 1
y b b x = +
Least Squares Method
Least Squares Criterion
min (y y
i i
)
2
where:
y
i
= observed value of the dependent variable
for the ith observation
^
y
i
= estimated value of the dependent variable
for the ith observation
Slope for the Estimated Regression Equation
1
2
( )( )
( )
i i
i
x x y y
b
x x
=
10 5 y x = +
1
2
( )( )
20
5
( ) 4
i i
i
x x y y
b
x x
= = =
0 1
20 5(2) 10 b y b x = = =
Slope for the Estimated Regression Equation
y-Intercept for the Estimated Regression Equation
Estimated Regression Equation
Coefficient of Determination
Relationship Among SST, SSR, SSE
where:
SST = total sum of squares
SSR = sum of squares due to regression
SSE = sum of squares due to error
SST = SSR + SSE
2
( )
i
y y
( )
i
y y =
( )
i i
y y +
+ =
2
1
) of (sign r b r
xy
=
The sign of b
1
in the equation is +.
10 5 y x = +
= + .8772
xy
r
Sample Correlation Coefficient
r
xy
= +.9366
Assumptions About the Error Term c
1. The error c is a random variable with mean of zero.
2. The variance of c , denoted by o
2
, is the same for
all values of the independent variable.
3. The values of c are independent.
4. The error c is a normally distributed random
variable.
Testing for Significance
To test for a significant regression relationship, we
must conduct a hypothesis test to determine whether
the value of |
1
is zero.
Two tests are commonly used:
t Test
and
F Test
Both the t test and F test require an estimate of o
2
,
the variance of c in the regression model.
An Estimate of o
2
Testing for Significance
= =
2
1 0
2
) ( )
( SSE
i i i i
x b b y y y
where:
s
2
= MSE = SSE/(n 2)
The mean square error (MSE) provides the estimate
of o
2
, and the notation s
2
is also used.
Testing for Significance
An Estimate of o
2
SSE
MSE
= =
n
s
To estimate o we take the square root of o
2
.
The resulting s is called the standard error of
the estimate.
Hypotheses
Test Statistic
Testing for Significance: t Test
0 1
: 0 H | =
1
: 0
a
H | =
1
1
b
b
t
s
=
where
1
2
( )
b
i
s
s
x x
=
E
Rejection Rule
Testing for Significance: t Test
where:
t
o/2
is based on a t distribution
with n - 2 degrees of freedom
Reject H
0
if p-value < o
or t < -t
o/2
or t > t
o/2
1. Determine the hypotheses.
2. Specify the level of significance.
3. Select the test statistic.
o = .05
4. State the rejection rule.
Reject H
0
if p-value < .05
or |t| > 3.182 (with
3 degrees of freedom)
Testing for Significance: t Test
0 1
: 0 H | =
1
: 0
a
H | =
1
1
b
b
t
s
=
Testing for Significance: t Test
5. Compute the value of the test statistic.
6. Determine whether to reject H
0
.
t = 4.541 provides an area of .01 in the upper
tail. Hence, the p-value is less than .02. (Also,
t = 4.63 > 3.182.) We can reject H
0
.
1
1
5
4.63
1.08
b
b
t
s
= = =
Confidence Interval for |
1
H
0
is rejected if the hypothesized value of |
1
is not
included in the confidence interval for |
1
.
We can use a 95% confidence interval for |
1
to test
the hypotheses just used in the t test.
The form of a confidence interval for |
1
is:
Confidence Interval for |
1
1
1 /2 b
b t s
o
or 1.56 to 8.44
Rejection Rule
95% Confidence Interval for |
1
Conclusion
Hypotheses
Test Statistic
Testing for Significance: F Test
F = MSR/MSE
0 1
: 0 H | =
1
: 0
a
H | =
Rejection Rule
Testing for Significance: F Test
where:
F
o
is based on an F distribution with
1 degree of freedom in the numerator and
n - 2 degrees of freedom in the denominator
Reject H
0
if
p-value < o
or F > F
o
1. Determine the hypotheses.
2. Specify the level of significance.
3. Select the test statistic.
o = .05
4. State the rejection rule.
Reject H
0
if p-value < .05
or F > 10.13 (with 1 d.f.
in numerator and
3 d.f. in denominator)
Testing for Significance: F Test
0 1
: 0 H | =
1
: 0
a
H | =
F = MSR/MSE
Testing for Significance: F Test
5. Compute the value of the test statistic.
6. Determine whether to reject H
0
.
F = 17.44 provides an area of .025 in the upper
tail. Thus, the p-value corresponding to F = 21.43
is less than 2(.025) = .05. Hence, we reject H
0
.
F = MSR/MSE = 100/4.667 = 21.43
The statistical evidence is sufficient to conclude
that we have a significant relationship between the
number of TV ads aired and the number of cars sold.
Some Cautions about the
Interpretation of Significance Tests
Just because we are able to reject H
0
: |
1
= 0 and
demonstrate statistical significance does not enable
us to conclude that there is a linear relationship
between x and y.
Rejecting H
0
: |
1
= 0 and concluding that the
relationship between x and y is significant does
not enable us to conclude that a cause-and-effect
relationship is present between x and y.