Dear all:
I have a regression model that has collinearity problems (between three
regressor variables). I need a F-test that will allow me to compare
between full (with all variables) and partial models (minus 1=<
variables). The general F-test formula I'm using is:
F = {[SS(full model) - SS(reduced model)] / (#variables taken out)} /
MSS(full model)
Unfortunately, the ANOVA table parses the SS and MSS between the
variables and does not give the statistics for the regression model as
a whole, otherwise I'd do this by hand.
So, really, I have two questions: 1) Can I just add up all the SS and
MSS for all the variables to get the model SS and MSS and 2) Are there
any functions or packages I can use to calculate the F-statistic?
Thank you for any help you can provide.
Sincerely,
Jim Milks
Graduate Student
Environmental Sciences Ph.D. Program
Wright State University
3640 Colonel Glenn Hwy
Dayton, OH 45435
Partial F-test comparing full and reduced regression models
2 messages · James R. Milks, Peter Dalgaard
Jim Milks <jrclmilks at joimail.com> writes:
Dear all:
I have a regression model that has collinearity problems (between
three regressor variables). I need a F-test that will allow me to
compare between full (with all variables) and partial models (minus
1=< variables). The general F-test formula I'm using is:
F = {[SS(full model) - SS(reduced model)] / (#variables taken out)} /
MSS(full model)
Unfortunately, the ANOVA table parses the SS and MSS between the
variables and does not give the statistics for the regression model as
a whole, otherwise I'd do this by hand.
So, really, I have two questions: 1) Can I just add up all the SS and
MSS for all the variables to get the model SS and MSS and 2) Are
there any functions or packages I can use to calculate the F-statistic?
Just use anova(model1, model2). (One potential catch: Make sure that both models are fitted to the same data set. Missing values in predictors may interfere.)
O__ ---- Peter Dalgaard Blegdamsvej 3 c/ /'_ --- Dept. of Biostatistics 2200 Cph. N (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907