# Questions tagged [regression]

Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.

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19k views

### Is interaction possible between two continuous variables?

All of my variables are continuous. There are no levels. Is it possible to even have interaction between the variables?
3k views

### LARS vs coordinate descent for the lasso

What are the pros and cons of using LARS  versus using coordinate descent for fitting L1-regularized linear regression? I am mainly interested in performance aspects (my problems tend to have ...
6k views

### Coordinate descent for the lasso or elastic net

Are there any good papers or books dealing with the use of coordinate descent for L1 (lasso) and/or elastic net regularization for linear regression problems?
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### Can I simply remove one of two predictor variables that are highly linearly correlated?

Using Pearson's Correlation Coefficient, I have several variables that are highly correlated ($\rho = 0.978$ and $\rho = 0.989$ for 2 pairs of variables that are in my model). The reason some of the ...
33k views

### What are best practices in identifying interaction effects?

Other than literally testing each possible combination of variable(s) in a model (x1:x2 or x1*x2 ... xn-1 * xn). How do you ...
13k views

### Logistic Regression - Multicollinearity Concerns/Pitfalls

In Logistic Regression, is there a need to be as concerned about multicollinearity as you would be in straight up OLS regression? For example, with a logistic regression, where multicollinearity ...
36k views

### Regression: Transforming Variables

When transforming variables, do you have to use all of the same transformation? For example, can I pick and choose differently transformed variables, as in: Let, $x_1,x_2,x_3$ be age, length of ...
13k views

### How to add periodic component to linear regression model?

I have some cumulative frequency data. A line $y=ax+b$ looks like it fits the data extremely well, but there is cyclic/periodic wiggle in the line. I would like to estimate when the cumulative ...
7k views

### F-test for Lack-of-Fit in SPSS

Some googling revealed that doing the F-test for Lack-of-Fit in SPSS is not so trivial. It seems one has to “trick” SPSS to do that. See for example this. Can anybody suggest a better source of ...
16k views

### Least-angle regression vs. lasso

Least-angle regression and the lasso tend to produce very similar regularization paths (identical except when a coefficient crosses zero.) They both can be efficiently fit by virtually identical ...
197 views

### Toy regression question with latent variables

I originally asked this on a machine learning site, but one of the responses made me think that maybe this site is more suitable. Suppose you have two weighted coins, and every day you flip each one ...
44k views

### Interpreting the drop1 output in R

In R, the drop1command outputs something neat. These two commands should get you some output: example(step)#-> swiss ...
786 views

### Updating the lasso fit with new observations

I am fitting an L1-regularized linear regression to a very large dataset (with n>>p.) The variables are known in advance, but the observations arrive in small chunks. I would like to maintain the ...
3k views

### Java implementations of the lasso [closed]

Are there any open-source Java implementations of lasso or least angles regression? Pure Java code would be best, but clean implementations in other languages would also be of interest. I am already ...
3k views

### Explaining variation in a dependent variable based on a factorial experiment

I have run a factorial type test in a processing plant and have run a forward and backward step regression in R. How can I use the regression results and the anova created from the regression to ...
4k views

### In R, does “glmnet” fit an intercept?

I am fitting a linear model in R using glmnet. The original (non-regularized) model was fitted using lm and did not have a ...
1k views

### Regression on a triangular shaped region of points representing a symmetric relation

I plotted a set of about 200,000 points and got a triangular shaped region. The shape is roughly like the triangle made by the points $(1,0)$, $(0,1)$ and $(0,0)$. My points have the property that ...
170k views

### Regression with multiple dependent variables?

Is it possible to have a (multiple) regression equation with two or more dependent variables? Sure, you could run two separate regression equations, one for each DV, but that doesn't seem like it ...
15k views

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### Cox regression and time scale

Does X (hazard) variable in Cox proportional hazard regression analysis always have to be time? If not, could you provide an example, please? Can age of cancer patient be a hazard variable? If so, ...
14k views

### Dealing with correlated regressors

In a multiple linear regression with highly correlated regressors, what is the best strategy to use? Is it a legitimate approach to add the product of all the correlated regressors?
57k views

### Why is it possible to get significant F statistic (p<.001) but non-significant regressor t-tests?

In a multiple linear regression, why is it possible to have a highly significant F statistic (p<.001) but have very high p-values on all the regressor's t tests? In my model, there are 10 ...
856 views

### Doing regressions on samples from a very large file: are the means and SEs of the sample coefficients consistent estimators?

I have a fairly larege file 100M rows and 30 columns or so on which I would like to run multiple regressions. I have specialized code to run the regressions on the entire file, but what I would like ...
15k views

### Why use a lagged DV as an instrumental variable?

I have inherited some data analysis code that, not being an econometrician, I am struggling to understand. One model runs an instrumental variables regression with the following Stata command ...
457 views

### Using Covariance Estimator to Perform Linear Regression?

Suppose you had a method for estimating the population covariance of a vector-valued random variable given observations of that random variable, say $f(Z) \rightarrow C$, where the rows of $Z$ are ...
40k views

### Is adjusting p-values in a multiple regression for multiple comparisons a good idea?

Lets assume you are a social science researcher/econometrician trying to find relevant predictors of demand for a service. You have 2 outcome/dependent variables describing the demand (using the ...
2k views

### Cross-section and fixed effects models

Imagine 2 models: 1 for production, 1 for revenue, have cross-section and time dummies. Is it permissable to use CS in one and time in the other? How do I justify this? F-test for fixed effects is ...
15k views

### Linear model with constraints

I'm quite new to R and I have a following problem: I have a simple 2-factor linear model: ...
336 views

### Quantifying the degree of consistency of two fitted curves

I previously asked how to estimate the latent potential of a runner who ran the 100 metres each day for 200 days. Latent skill was defined as "the latent time it would take the individual to run if ...
2k views

### Regression analysis and parameter estimates with populations

I've seen a little bit here about the difference between statistical inference for random samples, and what happens when we actually have population data. Most arguments seem to suggest you "never ...
2k views

### OLS is BLUE. But what if I don't care about unbiasedness and linearity?

The Gauss-Markov theorem tells us that the OLS estimator is the best linear unbiased estimator for the linear regression model. But suppose I don't care about linearity and unbiasedness. Then is ...