January 24, 2012

The Truth About Linear Regression (Advanced Data Analysis from an Elementary Point of View)

Multiple linear regression: general formula for the optimal linear predictor. Using Taylor's theorem to justify linear regression locally. Collinearity. Consistency of ordinary least squares estimates under weak conditions. Linear regression coefficients will change with the distribution of the input variables: examples. Why R2 is usually a distraction. Linear regression coefficients will change with the distribution of unobserved variables (omitted variable problems). Errors in variables. Transformations of inputs and of outputs. Utility of probabilistic assumptions; the importance of looking at the residuals. What "controlled for in a linear regression" really means.

Reading: Notes, chapter 2 (R for examples and figures); Faraway, chapter 1 (continued).

Advanced Data Analysis from an Elementary Point of View

Posted by crshalizi at January 24, 2012 10:15 | permanent link

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