Econometrics sheet

Faculty of agriculture
Universitas padjadjaran
*to be published online

The Assumptions
of regression

Mugi Bentang Faatihah, 15061012014, Fakultas Pertanian, Universitas Padjadajaran

Taken from Chapter 13 of Simple Linear Regression of Statistics for Managers Using Microsoft Excel, 6e. by Levine, Stephan, and Beren-

son. Pearson Publishing for Econometrics with lecture Prof. Tuhpawana P. Sendjaja
here are four principal as-

pendent variables on the expected value

Statistics solutions, Firstly, linear regres-

sumptions which justify

of the dependent variable are additive.(ii)

sion needs the relationship between the

the use of linear regres-

statistical independence of the errors (in

independent and dependent variables

sion models for purposes

particular, no correlation between con-

to be linear. It is also important to check

of inference or prediction:

secutive errors in the case of time series

for outliers since linear regression is sen-

(i) linearity and additivity

data)(iii) homoscedasticity (constant vari-

sitive to outlier effects. The linearity as-

of the relationship between dependent

ance) of the errors,(a) versus time (in the

sumption can best be tested with scatter

and independent variables:

(a) The

case of time series data),(b) versus the

plots, the following two examples depict

expected value of dependent variable

predictions, (c) versus any independent

two cases, where no and little linearity is

is a straight-line function of each inde-

variable, (iv) normality of the error distri-

present.

pendent variable, holding the others

bution. The assumptions of regression

fixed.

(b) The slope of that line does not

play role in deciding residuals, which

depend on the values of the other vari-

could take action to determine the viola-

ables.

tion of the regression. According to the

(c) The effects of different inde-

problem 13.31

In Problem 13.10 on page 523, you used hardness to predict the tensile strength of die-cast
aluminum. Perform a residual analysis for these data. Based on these results,
a)

Determine the adequacy of the fir of the model.

b)

Evaluate whether the assumptions of regression have been seriously violated.

Th

s s u m p t i o n

Residual plot

o f

e g r e s s i o n

The scatter graphic for variable residual plot

The determination

of the adequacy of the fit of the model.

o determine the adequacy of the

The residuals data shown the random behav-

fit of the model, could be figured

ior, it suggests that the model fit to the data

out from the residuals data. If

were correct. Theresidual plot, itself, is a graph

the model fit to the data were

that shows the residuals on the vertical axis

correct, the residuals would ap-

and the independent variable on the horizon-

proximate the random errors

tal axis. If the points in a residual plot are ran-

that make the relationship between the ex-

domly dispersed around the horizontal axis, a

planatory variables and the response variable

linear regression model is appropriate for the

a statistical relationship. Therefore, the residu-

data; otherwise, a non-linear model is more ap-

als appear to behave randomly, it suggests that

propriate.

the data of the question fits the model well.

Conclusion:

The data is adequate and fit for the model.

Th

s s u m p t i o n

Residual plot

o f

e g r e s s i o n

The scatter graphic for equal variance from a plot of the residuals with the independent variable

The evaluation

of the possible violation of the regression

o evaluate the violation, we can
figure out from a plot of the residuals with Xi. In this case, there
do not appear to be major differences in the variability of the
residuals for different xi values.

Thus, the conclusion that there is no apparent

violation in the assumption of equal variance at
each level of X.

Conclusion:

There is no apparent violation in the assumption of equal

variance at each level of X.

The Calculations Taken

Tensile
strength
53
70.2
84.3
55.3
78.5
63.5
71.4
53.4
82.5
67.3
69.5
73
55.7
85.8
95.4
51.1
74.4
54.1
77.8
52.4
69.1
53.5
64.3
82.7
55.7
70.5
87.5
50.7
72.3
59.5
71.3
52.7
76.5
63.7
69.2

Hardness
29.31
34.86
36.82
30.12
34.02
30.82
35.4
31.26
32.18
33.42
37.69
34.88
24.66
34.76
38.02
25.68
25.81
26.46
28.67
24.64
25.77
23.69
28.65
32.38
23.21
34
34.47
29.25
28.71
29.83
29.25
27.99
31.85
27.65
31.7

*downloadable at http://wps.prenhall.com/bp_levine_statsexcel_5/65/16645/4261323.cw/index.html

The Summary Output

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.679185
R Square
0.461292
Adjusted R
Square
0.444968
Standard
Error
3.048218
Observation
s
35
ANOVA
df
Regression

SS
1

262.5603

33
34

306.6239
569.1843

Coefficien
ts

Standard
Error

Intercept

15.05459

2.952909

X Variable 1

0.228469

0.042979

Residual
Total

MS
262.560
3
9.29163
5

F
28.2577
1

t Stat
5.09822
4
5.31579
8

P-value
1.38E05
7.26E06

Significan
ce F
7.26E-06

Lower
95%
9.046852
0.141027

Upper
95%
21.0623
3
0.31591
1

Lower
95.0%
9.04685
2
0.14102
7

Upper
95.0%
21.0623
3
0.31591
1

RESIDUAL OUTPUT

Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

Predicted
Y
27.16346
31.09313
34.31454
27.68894
32.98942
29.56238
31.36729
27.25484
33.9033
30.43057
30.9332
31.73284
27.78032
34.65725
36.85055
26.72937
32.0527
27.41477
32.82949
27.02638
30.84181
27.27769
29.74516
33.94899
27.78032
31.16167
35.04564
26.63798
31.57291
28.64851
31.34444
27.09492
32.53248
29.60808
30.86466

Residual
s
2.146543
3.766873
2.505457
2.431064
1.030578
1.257616
4.03271
4.005155
-1.7233
2.989433
6.756801
3.147159
-3.12032
0.102753
1.169449
-1.04937
-6.2427
-0.95477
-4.15949
-2.38638
-5.07181
-3.58769
-1.09516
-1.56899
-4.57032
2.838332
-0.57564
2.612022
-2.86291
1.181493
-2.09444
0.895084
-0.68248
-1.95808
0.835342