Extensions of Multiple Regression Flashcards
What is a High leverage point?
Extreme value of independent variables
Observation that is outside the range of independent variables (x axis)
What is a Outliers?
Extreme value in the dependent variable
Observation that is outside the range of the dependent variables (vertical Y range)
How do you detect and calculate a High leverage point?
Calculate leverage measure
HL = 3 (K+1/n)
1/n + ( Deviation of i / Sum of all deviations)
How do you detect and calculate a outlier?
Externally studentized residuals
Delete each case i
Calculate new regression
Add deleted observation back in, calculate residual
Calculate sudentized residuals
T* = e* / se*
potentially influentia if ..
|T|> Critical t (for small samples)
|T| < 3 for large samples
How can we determine and find influential outliers
By calculating Cooks distance (aka Cooks D)
If cooks D is …
Di > 0.5
could be influential
If cooks D is
Di > 1
Likely to be influential
If cooks D is
Di > 2 x Rot(K/n)
Influential
How does an intercept dummy variable look like?
No interaction term
yi = b0 + b1x1 +b2x2 + d0D1
How does an Slope dummy variable look like?
interaction term
yi = b0 + b1x1 +d1x1D + epsilon
How do you interpret an independent variable’s slope coefficient in a logistic regression model
log odds that the event happens per unit change in the independent variable, holding all other independent variables constant.
The intercept in these logistic regressions is interpreted as the:
log odds of the ETF being a winning fund if all independent variables are zero.
When to use a Log-Linear trend model?
When the dependent Y variable changes at a constant growth rate
When the dependent Y variable changes at a constant growth rate
When the dependent Y variable changes at a constant rate with time.
