Questions tagged [regression]

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

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4
votes
8answers
697 views

Relationships between two variables

Comparing two variables, I came up with the following chart. the x, y pairs represent independent observations of data on the field. I've doen Pearson correlation on it and have found one of 0.6. ...
192
votes
3answers
143k views

When should I use lasso vs ridge?

Say I want to estimate a large number of parameters, and I want to penalize some of them because I believe they should have little effect compared to the others. How do I decide what penalization ...
2
votes
1answer
521 views

Regression output and Fisher-Snedecor distribution

I'm working on regression models in STATISTICA application and I need to know what is Fisher-Snedecor distribution for and how to analyze my regression model in this distribution. What the ...
7
votes
2answers
727 views

Why prediction of a predicted variable from a discriminant analysis is imperfect

I am puzzled by something I found using Linear Discriminant Analysis. Here is the problem - I first ran the Discriminant analysis using 20 or so independent variables to predict 5 segments. Among the ...
47
votes
4answers
92k views

What is difference-in-differences?

Difference in differences has long been popular as a non-experimental tool, especially in economics. Can somebody please provide a clear and non-technical answer to the following questions about ...
40
votes
4answers
14k views

What is an instrumental variable?

Instrumental variables are becoming increasingly common in applied economics and statistics. For the uninitiated, can we have some non-technical answers to the following questions: What is an ...
95
votes
5answers
14k views

Why is ANOVA taught / used as if it is a different research methodology compared to linear regression?

ANOVA is equivalent to linear regression with the use of suitable dummy variables. The conclusions remain the same irrespective of whether you use ANOVA or linear regression. In light of their ...
20
votes
5answers
648 views

When can you use data-based criteria to specify a regression model?

I've heard that when many regression model specifications (say, in OLS) are considered as possibilities for a dataset, this causes multiple comparison problems and the p-values and confidence ...
23
votes
6answers
57k views

Always Report Robust (White) Standard Errors?

It has been suggested by Angrist and Pischke that Robust (i.e. robust to heteroskedasticity or unequal variances) Standard Errors are reported as a matter of course rather than testing for it. Two ...
190
votes
8answers
393k views

In linear regression, when is it appropriate to use the log of an independent variable instead of the actual values?

Am I looking for a better behaved distribution for the independent variable in question, or to reduce the effect of outliers, or something else?
68
votes
7answers
80k views

What is a “saturated” model?

What is meant when we say we have a saturated model?
85
votes
10answers
173k views

How should outliers be dealt with in linear regression analysis?

Often times a statistical analyst is handed a set dataset and asked to fit a model using a technique such as linear regression. Very frequently the dataset is accompanied with a disclaimer similar to ...
3
votes
1answer
263 views

How to get to a t variable from linear regression

I know this must be standard material, but I had difficulty in finding a proof in this form. Let $e$ be a standard white Gaussian vector of size $N$. Let all the other matrices in the following be ...
15
votes
5answers
13k views

Can one use multiple regression to predict one principal component (PC) from several other PCs?

A while ago a user on R-help mailing list asked about the soundness of using PCA scores in a regression. The user is trying to use some PC scores to explain variation in another PC (see full ...

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