Linear Regression
- To: mathgroup at smc.vnet.net
- Subject: [mg3748] Linear Regression
- From: rhall2 at umbc.edu (hall robert)
- Date: Sun, 14 Apr 1996 03:02:12 -0400
- Organization: University of Maryland, Baltimore County
- Sender: owner-wri-mathgroup at wolfram.com
I'm having a problem with the Linear Regression package. I ran a regression with 1 independent variable and a sample size of 28. Then I tried to do a Ramsey RESET. This involves taking a list of predicted outcomes and raising it to the 2nd, 3rd and 4th powers. Theses 3 new lists are then used as additional independent variables (I'm now up to 4 independent variables) and the regression is run again. The increase in independent variables should always result in a lower sum of squares due to error. The ANOVA table showed a sum of squares due to error that was larger than the 1st regression by a factor of about 100. Secondly, I thought the FitResidual list was a list of the differences between the observed outcomes and the predicted outcomes. A little calculation shows that this isn't the case. Can anyone tell me what FitResidual is? I tried the Econometrics package. The variances were better behaved but the coefficients are not the result of OLS. I tried a small sample by hand, using Fit[], Regress[], and Reg[]. The coefficients derived by hand matched those from Fit[] and Regress[], but the output from Reg[] was quite different. (I used "const" instead of entering an intercept list.) Can somebody clue me in? By the way, I got a badly conditioned matrix warning when I ran the RESET regression with Reg[]. I changed the algorithm option to SVD, but the output data didn't change. I got no warnings from Regress[]. Yikes! -- Bob Hall | "Know thyself? Absurd direction! rhall2 at gl.umbc.edu | Bubbles bear no introspection." -Khushhal Khan Khatak ==== [MESSAGE SEPARATOR] ====