Certain effects of uncertain models

  • Abstract
  • Keywords
  • References
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  • Abstract

    Statistical summaries of multiple regression analyses often state conclusions as if model uncertainty is of little concern. The error due to a mis-specified model, however, can be more significant in practice than the sampling error associated with commonly reported statistics. The true effect of an explanatory variable may be opposite that indicated by a fitted coefficient of a linear model, even if the model is well fit and the coefficient is deemed statistically significant. Here we study the sensitivity of the sign of a fitted coefficient to changes in the model structure. As a consequence of the principle of least squares, we show generally, that a set of covariates with a relatively weak coefficient of determination can not reverse the sign of a relatively strong fitted coefficient of a linear model that has been fit with a regression matrix having orthogonal columns. A consequence of the theory is a necessary condition for Simpson's paradox.

    Keywords:confounding, least squares, model uncertainty, regression, sensitivity analysis.

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Article ID: 3698
DOI: 10.14419/ijasp.v2i2.3698

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