ChatGPT

Multiple Regression Model

A multiple regression model predicts the dependent variable Y using multiple independent
variables X1 , X2 , … , Xp . The general equation is:
​ ​ ​

Y = β 0 + β 1 X1 + β 2 X2 + ⋯ + β p Xp + ϵ
​ ​ ​ ​ ​ ​ ​

Where:

β0 is the intercept.
​

β1 , β2 , … , βp are the regression coefficients for the predictors.

​ ​ ​

ϵ is the error term, assumed to be normally distributed with mean 0 and variance σ 2 .

This model finds the linear relationship between Y and the independent variables
X1 , X2 , … , Xp .
​ ​ ​

Polynomial Regression Model

A polynomial regression model is a specific form of regression where the relationship
between the dependent variable Y and an independent variable X is modeled as a
polynomial of degree d. The equation is:

Y = β0 + β1 X + β2 X 2 + ⋯ + βd X d + ϵ
​ ​ ​ ​

Where:

d is the degree of the polynomial.

β0 , β1 , β2 , … , βd are the coefficients.
​ ​ ​ ​

ϵ is the error term.

For example, a cubic polynomial regression model (degree 3) is expressed as:

Y = β0 + β1 X + β2 X 2 + β3 X 3 + ϵ
​ ​ ​ ​

Polynomial regression is often used to capture nonlinear trends in data.

1/6
Role of Orthogonal Polynomials in Fitting Polynomial Models
When fitting polynomial models, higher powers of X (e.g., X 2 , X 3 ) are correlated with
lower powers, leading to multicollinearity. Orthogonal polynomials mitigate this issue by
ensuring that all terms are uncorrelated.

Orthogonal Polynomials Equation

Orthogonal polynomials ϕ0 (X), ϕ1 (X), ϕ2 (X), … are derived such that:

​ ​ ​

b
∫ ϕi (X)ϕj (X)w(X)dX = 0
​ ​ ​ for i =
j
a

Where:

ϕi (X) and ϕj (X) are different orthogonal polynomials.

​ ​

w(X) is a weighting function.

a and b define the range of X .

Key Benefits

1. Multicollinearity Reduction:
In ordinary polynomial regression, terms like X 2 and X 3 are correlated. Using
orthogonal polynomials ensures that each term (e.g., ϕ1 (X), ϕ2 (X)) is independent of
​ ​

the others.

2. Numerical Stability:
Higher powers of X can grow very large, causing numerical instability. Orthogonal
polynomials are scaled, avoiding such issues.

3. Simplified Coefficient Estimation:

Since orthogonal polynomials are uncorrelated, the coefficients βi can be estimated ​

independently.

4. Example:
For example, the first few Legendre polynomials are:

3X 2 − 1 5X 3 − 3X
ϕ0 (X) = 1, ϕ1 (X) = X, ϕ2 (X) = , ϕ 3 (X ) =
2 2
​ ​ ​ ​ ​ ​

Using these in regression, we model Y as:

Y = β0 ϕ0 (X) + β1 ϕ1 (X) + β2 ϕ2 (X) + ⋯ + ϵ

​ ​ ​ ​ ​ ​

2/6
In conclusion, orthogonal polynomials make polynomial regression models more efficient,
interpretable, and numerically stable.

Here's a structured answer for your 10-mark question.

Identifying Important Regressors in Multiple Regression

In a multiple regression model, we aim to understand the relationship between a
dependent variable Y and multiple independent variables X1 , X2 , … , Xp . The general ​ ​ ​

model is expressed as:

Y = β 0 + β 1 X1 + β 2 X2 + ⋯ + β p Xp + ϵ
​ ​ ​ ​ ​ ​ ​

Where:

β0 is the intercept.
​

β1 , β2 , … , βp are the regression coefficients.

​ ​ ​

ϵ is the error term.

The objective is to determine which specific regressors (independent variables)

significantly impact Y .

Criteria to Identify Important Regressors

1. Statistical Significance of Coefficients (t-test):
For each coefficient βj , we test: ​

H0 : β j = 0
​ ​ (regressor is not important) vs H1 : β j 
​ =0 ​ (regressor is important)

The t-statistic for βj is given by: ​

β^j
tj =
​ ​

SE(β^j )
​ ​

​ ​

Where:

β^j is the estimated coefficient.

​ ​

3/6
 SE(β^j ) is its standard error.
​ ​

If ∣tj ∣​ > tα/2,n−p−1 (critical value from the t-distribution), we reject H0 , indicating
​ ​

Xj is significant.
​

Alternatively, check the p-value:

If p-value < α (e.g., 0.05), Xj is considered significant.

​

2. Partial F-test for Groups of Regressors:

To test the joint significance of a subset of regressors, say X1 , X2 , … , Xk , the partial F-
​ ​ ​

test is used:

(RSSrestricted − RSSfull )/k

F =
​ ​

RSSfull /(n − p − 1)
​

Where:

RSSrestricted : Residual sum of squares for the reduced model (excluding some
​

regressors).

RSSfull : Residual sum of squares for the full model.

​

k : Number of regressors being tested.

n: Sample size, p: total regressors.

If F > Fα,k,n−p−1 , the regressors are jointly significant.

​

3. Adjusted R-squared:

R2 measures the proportion of variance explained by the model. However, adding

more regressors always increases R2 , even if they are not important.

Adjusted R2 accounts for the number of predictors:

2 (1 − R2 )(n − 1)
Radj =1−
n−p−1
​ ​

A higher adjusted R2 indicates better model performance.

4/6
 4. Variable Selection Methods:
Automated techniques help identify important regressors:

Stepwise Selection (Forward/Backward): Variables are added or removed based on

statistical significance.

Akaike Information Criterion (AIC) or Bayesian Information Criterion (BIC): These

criteria penalize models with too many variables, helping to select the optimal
subset.

5. Multicollinearity Check (VIF):

Multicollinearity inflates standard errors and can make insignificant variables appear
important. The Variance Inflation Factor (VIF) is used:

1
V IFj =
1 − Rj2
​ ​

Where Rj2 is the R2 of regressor Xj regressed on all other predictors.

​ ​

If V IF > 10, multicollinearity is problematic.

Steps to Address the Question:

To determine which regressors are important:

1. Perform t-tests on each coefficient to check individual significance.

2. Use partial F-tests for testing joint significance of groups of regressors.

3. Evaluate model performance using Adjusted R2 .

4. Apply variable selection methods (Stepwise, AIC, or BIC) to choose the optimal
predictors.

5. Check for multicollinearity using VIF and remove redundant regressors.

5/6
Conclusion:
The importance of specific regressors in multiple regression can be assessed through
statistical tests (t-test, F-test), model performance metrics (Adjusted R2 ), and variable
selection techniques. By following these methods, we ensure a robust and parsimonious
model that identifies key predictors influencing the response variable Y .

Specific Regressors in Multiple Regression

The specific regressors that seem important in a multiple regression model are those that:

1. Have statistically significant coefficients, determined using the t-test:

A regressor Xj is important if its p-value

​
< α (e.g., 0.05).
2. Contribute significantly to explaining the variation in Y , evaluated using:

Partial F-test for joint significance.

3. Improve the Adjusted R2 of the model.

4. Have low VIF (Variance Inflation Factor) to avoid multicollinearity.

By testing these criteria, we can determine which regressors meaningfully impact the
dependent variable.

6/6