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Handbook of Regression Analysis
With Applications in R
WILEY SERIES IN PROBABILITY AND STATISTICS
Established by WALTER A. SHEWHART and SAMUEL S. WILKS
Editors
David J. Balding, Noel A.C. Cressie, Garrett M. Fitzmaurice, Harvey
Goldstein, Geert Molenberghs, David W. Scott, Adrian F.M. Smith, and
Ruey S. Tsay
Editors Emeriti
Vic Barnett, Ralph A. Bradley, J. Stuart Hunter, J.B. Kadane, David G.
Kendall, and Jozef L. Teugels
A complete list of the titles in this series appears at the end of this volume.
Handbook of Regression
Analysis With Applications
in R

Second Edition

Samprit Chatterjee
New York University, New York, USA

Jeffrey S. Simonoff
New York University, New York, USA
This second edition first published 2020
© 2020 John Wiley & Sons, Inc

Edition History
Wiley-Blackwell (1e, 2013)

All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in
any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by
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The right of Samprit Chatterjee and Jeffery S. Simonoff to be identified as the authors of this work has been
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Library of Congress Cataloging-in-Publication Data

Names: Chatterjee, Samprit, 1938- author. | Simonoff, Jeffrey S., author.

Title: Handbook of regression analysis with applications in R / Professor
Samprit Chatterjee, New York University, Professor Jeffrey S. Simonoff,
New York University.
Other titles: Handbook of regression analysis
Description: Second edition. | Hoboken, NJ : Wiley, 2020. | Series: Wiley
series in probability and statistics | Revised edition of: Handbook of
regression analysis. 2013. | Includes bibliographical references and
index.
Identifiers: LCCN 2020006580 (print) | LCCN 2020006581 (ebook) | ISBN
9781119392378 (hardback) | ISBN 9781119392477 (adobe pdf) | ISBN
9781119392484 (epub)
Subjects: LCSH: Regression analysis--Handbooks, manuals, etc. | R (Computer
program language)
Classification: LCC QA278.2 .C498 2020 (print) | LCC QA278.2 (ebook) |
DDC 519.5/36--dc23
LC record available at https://lccn.loc.gov/2020006580
LC ebook record available at https://lccn.loc.gov/2020006581

Cover Design: Wiley

Cover Image: © Dmitriy Rybin/Shutterstock

Set in 10.82/12pt AGaramondPro by SPi Global, Chennai, India

Printed in the United States of America

10 9 8 7 6 5 4 3 2 1
Dedicated to everyone who labors in the field
of statistics, whether they are students,
teachers, researchers, or data analysts.
 Contents

Preface to the Second Edition xv

Preface to the First Edition xix

Part I
The Multiple Linear Regression Model

1 Multiple Linear Regression 3

1.1 Introduction 3
1.2 Concepts and Background Material 4
1.2.1 The Linear Regression Model 4
1.2.2 Estimation Using Least Squares 5
1.2.3 Assumptions 8
1.3 Methodology 9
1.3.1 Interpreting Regression Coefficients 9
1.3.2 Measuring the Strength of the Regression
Relationship 10
1.3.3 Hypothesis Tests and Confidence Intervals
for β 12
1.3.4 Fitted Values and Predictions 13
1.3.5 Checking Assumptions Using Residual Plots 14
1.4 Example — Estimating Home Prices 15
1.5 Summary 19

2 Model Building 23
2.1 Introduction 23
2.2 Concepts and Background Material 24
2.2.1 Using Hypothesis Tests to Compare Models 24
2.2.2 Collinearity 26
2.3 Methodology 29
2.3.1 Model Selection 29
2.3.2 Example — Estimating Home Prices
(continued) 31
2.4 Indicator Variables and Modeling Interactions 38
2.4.1 Example — Electronic Voting and the 2004
Presidential Election 40
2.5 Summary 46

vii
viii CONTENTS

Part II
Addressing Violations of Assumptions

3 Diagnostics for Unusual Observations 53

3.1 Introduction 53
3.2 Concepts and Background Material 54
3.3 Methodology 56
3.3.1 Residuals and Outliers 56
3.3.2 Leverage Points 57
3.3.3 Influential Points and Cook’s Distance 58
3.4 Example — Estimating Home Prices (continued) 60
3.5 Summary 63

4 Transformations and Linearizable Models 67

4.1 Introduction 67
4.2 Concepts and Background Material: The Log-Log Model 69
4.3 Concepts and Background Material: Semilog Models 69
4.3.1 Logged Response Variable 70
4.3.2 Logged Predictor Variable 70
4.4 Example — Predicting Movie Grosses After One Week 71
4.5 Summary 77

5 Time Series Data and Autocorrelation 79

5.1 Introduction 79
5.2 Concepts and Background Material 81
5.3 Methodology: Identifying Autocorrelation 83
5.3.1 The Durbin-Watson Statistic 83
5.3.2 The Autocorrelation Function (ACF) 84
5.3.3 Residual Plots and the Runs Test 85
5.4 Methodology: Addressing Autocorrelation 86
5.4.1 Detrending and Deseasonalizing 86
5.4.2 Example — e-Commerce Retail Sales 87
5.4.3 Lagging and Differencing 93
5.4.4 Example — Stock Indexes 94
5.4.5 Generalized Least Squares (GLS):
The Cochrane-Orcutt Procedure 99
5.4.6 Example — Time Intervals Between Old Faithful
Geyser Eruptions 100
5.5 Summary 104
CONTENTS ix

Part III
Categorical Predictors

6 Analysis of Variance 109

6.1 Introduction 109
6.2 Concepts and Background Material 110
6.2.1 One-Way ANOVA 110
6.2.2 Two-Way ANOVA 111
6.3 Methodology 113
6.3.1 Codings for Categorical Predictors 113
6.3.2 Multiple Comparisons 118
6.3.3 Levene’s Test and Weighted Least Squares 120
6.3.4 Membership in Multiple Groups 123
6.4 Example — DVD Sales of Movies 125
6.5 Higher-Way ANOVA 130
6.6 Summary 132

7 Analysis of Covariance 135

7.1 Introduction 135
7.2 Methodology 136
7.2.1 Constant Shift Models 136
7.2.2 Varying Slope Models 137
7.3 Example — International Grosses of Movies 137
7.4 Summary 142

Part IV
Non-Gaussian Regression Models

8 Logistic Regression 145

8.1 Introduction 145
8.2 Concepts and Background Material 147
8.2.1 The Logit Response Function 148
8.2.2 Bernoulli and Binomial Random Variables 149
8.2.3 Prospective and Retrospective Designs 149
8.3 Methodology 152
8.3.1 Maximum Likelihood Estimation 152
8.3.2 Inference, Model Comparison, and Model
Selection 153
x CONTENTS

8.3.3 Goodness-of-Fit 155

8.3.4 Measures of Association and Classification
Accuracy 157
8.3.5 Diagnostics 159
8.4 Example — Smoking and Mortality 159
8.5 Example — Modeling Bankruptcy 163
8.6 Summary 168

9 Multinomial Regression 173

9.1 Introduction 173
9.2 Concepts and Background Material 174
9.2.1 Nominal Response Variable 174
9.2.2 Ordinal Response Variable 176
9.3 Methodology 178
9.3.1 Estimation 178
9.3.2 Inference, Model Comparisons, and Strength of
Fit 178
9.3.3 Lack of Fit and Violations of
Assumptions 180
9.4 Example — City Bond Ratings 180
9.5 Summary 184

10 Count Regression 187

10.1 Introduction 187
10.2 Concepts and Background Material 188
10.2.1 The Poisson Random Variable 188
10.2.2 Generalized Linear Models 189
10.3 Methodology 190
10.3.1 Estimation and Inference 190
10.3.2 Offsets 191
10.4 Overdispersion and Negative Binomial Regression 192
10.4.1 Quasi-likelihood 192
10.4.2 Negative Binomial Regression 193
10.5 Example — Unprovoked Shark Attacks in Florida 194
10.6 Other Count Regression Models 201
10.7 Poisson Regression and Weighted Least Squares 203
10.7.1 Example — International Grosses of Movies
(continued) 204
10.8 Summary 206

11 Models for Time-to-Event (Survival) Data 209

11.1 Introduction 210
11.2 Concepts and Background Material 211
11.2.1 The Nature of Survival Data 211
11.2.2 Accelerated Failure Time Models 212
11.2.3 The Proportional Hazards Model 214
CONTENTS xi

11.3 Methodology 214

11.3.1 The Kaplan-Meier Estimator and the Log-Rank
Test 214
11.3.2 Parametric (Likelihood) Estimation 219
11.3.3 Semiparametric (Partial Likelihood)
Estimation 221
11.3.4 The Buckley-James Estimator 223
11.4 Example — The Survival of Broadway Shows
(continued) 223
11.5 Left-Truncated/Right-Censored Data and Time-Varying
Covariates 230
11.5.1 Left-Truncated/Right-Censored Data 230
11.5.2 Example — The Survival of Broadway Shows
(continued) 233
11.5.3 Time-Varying Covariates 233
11.5.4 Example — Female Heads of Government 235
11.6 Summary 238

Part V
Other Regression Models

12 Nonlinear Regression 243

12.1 Introduction 243
12.2 Concepts and Background Material 244
12.3 Methodology 246
12.3.1 Nonlinear Least Squares Estimation 246
12.3.2 Inference for Nonlinear Regression Models 247
12.4 Example — Michaelis-Menten Enzyme Kinetics 248
12.5 Summary 252

13 Models for Longitudinal and Nested Data 255

13.1 Introduction 255
13.2 Concepts and Background Material 257
13.2.1 Nested Data and ANOVA 257
13.2.2 Longitudinal Data and Time Series 258
13.2.3 Fixed Effects Versus Random Effects 259
13.3 Methodology 260
13.3.1 The Linear Mixed Effects Model 260
13.3.2 The Generalized Linear Mixed Effects Model 262
13.3.3 Generalized Estimating Equations 262
13.3.4 Nonlinear Mixed Effects Models 263
13.4 Example — Tumor Growth in a Cancer Study 264
13.5 Example — Unprovoked Shark Attacks in the United
States 269
13.6 Summary 275
xii CONTENTS

14 Regularization Methods and Sparse Models 277

14.1 Introduction 277
14.2 Concepts and Background Material 278
14.2.1 The Bias–Variance Tradeoff 278
14.2.2 Large Numbers of Predictors and Sparsity 279
14.3 Methodology 280
14.3.1 Forward Stepwise Regression 280
14.3.2 Ridge Regression 281
14.3.3 The Lasso 281
14.3.4 Other Regularization Methods 283
14.3.5 Choosing the Regularization Parameter(s) 284
14.3.6 More Structured Regression Problems 285
14.3.7 Cautions About Regularization Methods 286
14.4 Example — Human Development Index 287
14.5 Summary 289

Part VI
Nonparametric and Semiparametric
Models

15 Smoothing and Additive Models 295

15.1 Introduction 296
15.2 Concepts and Background Material 296
15.2.1 The Bias–Variance Tradeoff 296
15.2.2 Smoothing and Local Regression 297
15.3 Methodology 298
15.3.1 Local Polynomial Regression 298
15.3.2 Choosing the Bandwidth 298
15.3.3 Smoothing Splines 299
15.3.4 Multiple Predictors, the Curse of Dimensionality, and
Additive Models 300
15.4 Example — Prices of German Used Automobiles 301
15.5 Local and Penalized Likelihood Regression 304
15.5.1 Example — The Bechdel Rule and Hollywood
Movies 305
15.6 Using Smoothing to Identify Interactions 307
15.6.1 Example — Estimating Home Prices
(continued) 308
15.7 Summary 310

16 Tree-Based Models 313

16.1 Introduction 314
16.2 Concepts and Background Material 314
16.2.1 Recursive Partitioning 314
16.2.2 Types of Trees 317
CONTENTS xiii

16.3 Methodology 318

16.3.1 CART 318
16.3.2 Conditional Inference Trees 319
16.3.3 Ensemble Methods 320
16.4 Examples 321
16.4.1 Estimating Home Prices (continued) 321
16.4.2 Example — Courtesy in Airplane Travel 322
16.5 Trees for Other Types of Data 327
16.5.1 Trees for Nested and Longitudinal Data 327
16.5.2 Survival Trees 328
16.6 Summary 332

Bibliography 337
Index 343
 Preface to the
Second Edition

The years since the first edition of this book appeared have been fast-moving
in the world of data analysis and statistics. Algorithmically-based methods
operating under the banner of machine learning, artificial intelligence, or
data science have come to the forefront of public perceptions about how to
analyze data, and more than a few pundits have predicted the demise of classic
statistical modeling.
To paraphrase Mark Twain, we believe that reports of the (impending)
death of statistical modeling in general, and regression modeling in particular,
are exaggerated. The great advantage that statistical models have over “black
box” algorithms is that in addition to effective prediction, their transparency
also provides guidance about the actual underlying process (which is crucial
for decision making), and affords the possibilities of making inferences and
distinguishing real effects from random variation based on those models.
There have been laudable attempts to encourage making machine learning
algorithms interpretable in the ways regression models are (Rudin, 2019), but
we believe that models based on statistical considerations and principles will
have a place in the analyst’s toolkit for a long time to come.
Of course, part of that usefulness comes from the ability to generalize
regression models to more complex situations, and that is the thrust of the
changes in this new edition. One thing that hasn’t changed is the philosophy
behind the book, and our recommendations on how it can be best used, and
we encourage the reader to refer to the preface to the first edition for guidance
on those points. There have been small changes to the original chapters, and
broad descriptions of those chapters can also be found in the preface to the
first edition. The five new chapters (Chapters 11, 13, 14, 15, and 16, with
the former chapter 11 on nonlinear regression moving to Chapter 12) expand
greatly on the power and applicability of regression models beyond what
was discussed in the first edition. For this reason many more references are
provided in these chapters than in the earlier ones, since some of the material
in those chapters is less established and less well-known, with much of it still
the subject of active research. In keeping with that, we do not spend much
(or any) time on issues for which there still isn’t necessarily a consensus in the
statistical community, but point to books and monographs that can help the
analyst get some perspective on that kind of material.
Chapter 11 discusses the modeling of time-to-event data, often referred
to as survival data. The response variable measures the length of time until an
event occurs, and a common complicator is that sometimes it is only known
xv
xvi PREFACE TO THE SECOND EDITION

that a response value is greater than some number; that is, it is right-censored.
This can naturally occur, for example, in a clinical trial in which subjects
enter the study at varying times, and the event of interest has not occurred at
the end of the trial. Analysis focuses on the survival function (the probability
of surviving past a given time) and the hazard function (the instantaneous
probability of the event occurring at a given time given survival to that
time). Parametric models based on appropriate distributions like the Weibull
or log-logistic can be fit that take censoring into account. Semiparametric
models like the Cox proportional hazards model (the most commonly-used
model) and the Buckley-James estimator are also available, which weaken
distributional assumptions. Modeling can be adapted to situations where
event times are truncated, and also when there are covariates that change over
the life of the subject.
Chapter 13 extends applications to data with multiple observations for
each subject consistent with some structure from the underlying process. Such
data can take the form of nested or clustered data (such as students all in
one classroom) or longitudinal data (where a variable is measured at multiple
times for each subject). In this situation ignoring that structure results in an
induced correlation that reflects unmodeled differences between classrooms
and subjects, respectively. Mixed effects models generalize analysis of variance
(ANOVA) models and time series models to this more complicated situation.
Models with linear effects based on Gaussian distributions can be generalized
to nonlinear models, and also can be generalized to non-Gaussian distributions
through the use of generalized linear mixed effects models.
Modern data applications can involve very large (even massive) numbers of
predictors, which can cause major problems for standard regression methods.
Best subsets regression (discussed in Chapter 2) does not scale well to very
large numbers of predictors, and Chapter 14 discusses approaches that can
accomplish that. Forward stepwise regression, in which potential predictors
are stepped in one at a time, is an alternative to best subsets that scales
to massive data sets. A systematic approach to reducing the dimensionality
of a chosen regression model is through the use of regularization, in which
the usual estimation criterion is augmented with a penalty that encourages
sparsity; the most commonly-used version of this is the lasso estimator, and it
and its generalizations are discussed further.
Chapters 15 and 16 discuss methods that move away from specified
relationships between the response and the predictor to nonparametric and
semiparametric methods, in which the data are used to choose the form of
the underlying relationship. In Chapter 15 linear or (specifically specified)
nonlinear relationships are replaced with the notion of relationships taking the
form of smooth curves and surfaces. Estimation at a particular location is based
on local information; that is, the values of the response in a local neighborhood
of that location. This can be done through local versions of weighted least
squares (local polynomial estimation) or local regularization (smoothing
splines). Such methods can also be used to help identify interactions between
numerical predictors in linear regression modeling. Single predictor smoothing
PREFACE TO THE SECOND EDITION xvii

estimators can be generalized to multiple predictors through the use of additive

functions of smooth curves. Chapter 16 focuses on an extremely flexible class of
nonparametric regression estimators, tree-based methods. Trees are based on
the notion of binary recursive partitioning. At each step a set of observations (a
node) is either split into two parts (children nodes) on the basis of the values of
a chosen variable, or is not split at all, based on encouraging homogeneity in the
children nodes. This approach provides nonparametric alternatives to linear
regression (regression trees), logistic and multinomial regression (classification
trees), accelerated failure time and proportional hazards regression (survival
trees) and mixed effects regression (longitudinal trees).
A final small change from the first edition to the second edition is in the
title, as it now includes the phrase With Applications in R. This is not really
a change, of course, as all of the analyses in the first edition were performed
using the statistics package R. Code for the output and figures in the book
can (still) be found at its associated web site at http://people.stern
.nyu.edu/jsimonof/RegressionHandbook/. As was the case in the
first edition, even though analyses are performed in R, we still refer to general
issues relevant to a data analyst in the use of statistical software even if those
issues don’t specifically apply to R.
We would like to once again thank our students and colleagues for their
encouragement and support, and in particular students for the tough questions
that have definitely affected our views on statistical modeling and by extension
this book. We would like to thank Jon Gurstelle, and later Kathleen Santoloci
and Mindy Okura-Marszycki, for approaching us with encouragement to
undertake a second edition. We would like to thank Sarah Keegan for her
patient support in bringing the book to fruition in her role as Project Editor.
We would like to thank Roni Chambers for computing assistance, and Glenn
Heller and Marc Scott for looking at earlier drafts of chapters. Finally, we
would like to thank our families for their continuing love and support.

SAMPRIT CHATTERJEE
Brooksville, Maine

JEFFREY S. SIMONOFF
New York, New York

October, 2019
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