Thanks for the reply. I am awared of the difference, but can I do regression by steps at all? I am not feeling comfortable about it.
John Sorkin wrote: > > Be very careful! > When regression is performed by steps, you often will not get the same > results as you would get from a single multivariable regression. The > explanation for this is not simple, but a simplified explanation is that > when you do your first regression, > y=f(x1) > all the total variance that can be accounted for is sucked up by x1 > leaving little varinace to be accounted for by your second regression, > residuals=f(x2). In contrast when you perform a multivariable regression, > y=f(x1,x2) the total variance is proportioned between x1 and x2. > John > > John David Sorkin M.D., Ph.D. > Chief, Biostatistics and Informatics > University of Maryland School of Medicine Division of Gerontology > Baltimore VA Medical Center > 10 North Greene Street > GRECC (BT/18/GR) > Baltimore, MD 21201-1524 > (Phone) 410-605-7119 > (Fax) 410-605-7913 (Please call phone number above prior to faxing) > >>>> rlearner309 <[EMAIL PROTECTED]> 7/8/2008 8:53 AM >>> > > I saw this type of models in some of my company projects. > > To simplify: > Y is regressed on X1 and X2. But the regression is done by two steps: > First Y is regressed on X1 with intercept, and the residuals from the > first > step are used to regress on X2, without the constant. The reason to do so > is some observations have X1 data but do not have X2, so I guess the > person > wants to use as much information as he can to get the coef. for X1, and > then > use part of the residuals (that have X2 data) to catch what is left to be > explained by X2. > > But my concern is, should we consider the correlation between X1 and X2? > If > residuals from the first step are used, then X1 effect has been removed. > Then what does it really mean by regressing residuals on X2, which has > some > X1 effect correlated with?? should X2 be adjusted by X1, too (regress X2 > on > X1 and use the residuals)? > > What if both X1 and X2 are dummy variables? Dummy variables can have a > meaningful correlation, too, right? > > Thanks a lot! > -- > View this message in context: > http://www.nabble.com/Can-I-do-regression-by-steps--tp18338562p18338562.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > Confidentiality Statement: > This email message, including any attachments, is for th...{{dropped:6}} > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/Can-I-do-regression-by-steps--tp18338562p18350475.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
