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Comparing multiple regression models

Comparing multiple regression models

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Comparing multiple regression models

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Prism lets you compare the fits of two alternative models.

Choose the second model

On the Compare tab of the multiple regression dialog, first choose the second model. In most cases, the second model will be nested within the first model. This means that the second model is simpler, maybe leaving out one independent variable or leaving out one or more interactions.

Choose a method to compare

Prism offers two approaches to comparing models with different numbers of parameters. These are not the only methods that have been developed to solve this problem, but are the most commonly used methods.

Extra sum-of-squares F test

The Extra sum-of-squares F test is based on traditional statistical hypothesis testing.

The null hypothesis is that the simpler model (the one with fewer parameters) is correct. The improvement of the more complicated model is quantified as the difference in sum-of-squares. You expect some improvement just by chance, and the amount you expect by chance is determined by the number of data points and the number of parameters in each model. The F test compares the difference in sum-of-squares with the difference you would expect by chance. The result is expressed as the F ratio, from which a P value is calculated.

The P value answers this question:

If the null hypothesis is really correct, in what fraction of experiments (the size of yours) will the difference in sum-of-squares be as large as you observed, or even larger?

If the P value is small, conclude that the simple model (the null hypothesis) is wrong, and accept the more complicated model. Usually the threshold P value is set at its traditional value of 0.05. If the P value is less than 0.05, then you reject the simpler (null) model and conclude that the more complicated model fits significantly better.

Information theory approach Akaike's criterion (AIC)

This alternative approach is based on information theory, and does not use the traditional “hypothesis testing” statistical paradigm. Therefore it does not generate a P value, does not reach conclusions about “statistical significance”, and does not “reject” any model.

The method determines how well the data supports each model, taking into account both the goodness-of-fit (sum-of-squares) and the number of parameters in the model. The results are expressed as the probability that each model is correct, with the probabilities summing to 100%. If one model is much more likely to be correct than the other (say, 1% vs. 99%), you will want to choose it. If the difference in likelihood is not very big (say, 40% vs. 60%), you will know that either model might be correct, so will want to collect more data. How the calculations work.

Which approach to choose?

In most cases, the models you want to compare will be 'nested'. This means that one model is a simpler case of the other. For example one model may include an interaction term, and the other model does not but is otherwise identical.

If the two models are nested, you may use either the F test or the AIC approach. The choice is usually a matter of personal preference and tradition. Basic scientists in pharmacology and physiology tend to use the F test. Scientists in fields like ecology and population biology tend to use AIC approach.

If the models are not nested, then the F test is not valid, so you should choose the information theory approach. Note that Prism does not test whether the models are nested.