COURSE SYLLABUS IN STAT 223: APPLIED REGRESSION ANALYSIS

Statistics 223: Applied Regression Analysis. Model building; Diagnostic Checking; Remedial Measures; Applications Credit: 3 Units Co-Requisite: Stat 222 or Equivalent Instructor: G. M. F. Sarte / gensarte@yahoo.com / Rm 13 Consultation Hours: WF 9am-12nn, Th 9am-12nn, 2-4pm

REFERENCES: Draper, N, Smith, H (1998). Applied Regression Analysis, 3rd ed., Wiley Series in Probability and Statistics, John Wiley and Sons, Inc. Chatterjee, S., Hadi, A., Price, B. (2000). Regression Analysis By Example, 3rd ed., Wiley Interscience Publications, John Wiley and Sons, Inc. Cook, RD (1998). Regression Graphics, Wiley Interscience Publications, John Wiley and Sons, Inc. Searle, S (1982). Matrix Algebra Useful for Statistics, Wiley Series in Probability and Mathematical Statistics, John Wiley and Sons, Inc. COURSE OUTLINE: The following topics will be the target coverage in this course. 1. Preliminaries 1.1 Review of Matrix Theory 1.2 Review of Sampling Distributions and Statistical Inference 1.3 Classification of Linear Models 1.4 The Model-Building Process 1.5 Measures of Correlation Introduction to Regression Models 2.1 The Linear Model 2.2 Classical Assumptions Estimation Procedures 2.3 Least Squares 2.4 Least Absolute Deviations 2.5 Backfitting Method 2.6 Non-parametric Regression

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Regression Analysis

Statistical Inference 2.1 The Least Squares Theory 2.2 Gauss-Markov Theorem 2.3 Confidence Intervals 2.4 Prediction Interval 2.5 The Inverse Regression Problem 2.6 Hypothesis Testing 2.7 Variable Selection On Outliers 3.1 Detection 3.2 Effects 3.3 Solution Non-Normality and Heteroskedasticity 4.1 Detection 4.2 The Duality of Non-Normality and Heteroskedasticity 4.3 Transformation Autocorrelation and Heteroskedasticity 5.1 Detection 5.2 Effects 5.3 The Cochranne-Orcutt Procedure 5.4 Weighted Least Squares 5.5 Generalized Least Squares Multicollinearity 6.1 The Ill-Conditioning Problem 6.2 Analysis of Multicollinearity Structure 6.3 Principal Component Regression 6.4 Ridge Regression and Other Shrinkage Estimators Dummy Variables 7.1 Categorical/Discrete Independent Variables 7.2 Interaction Effect 7.3 Heterogeneous Samples 7.4 Testing for Parallelism and Intersection of Models 7.5 Non-SRS Data Discrete and Dichotomous Dependent Variables 8.1 Logistic Regression 8.2 Nested Models 8.3 Polytomous Models 8.4 Poisson Regression

COURSE REQUIREMENTS: 3 examinations Problem Sets/Workshops Paper (analysis of an actual Philippine data) 70% 15% 15%

Regression Analysis

Each of the three examinations will cover approximately 1/3 of the coverage of the course. Missed examinations will be scored zero unless very important events happened on the day of the examination like health problems, or prior arrangements have been made with the teacher. The paper should present the documentation of the data collection, the background of the problem, and the solutions provided by regression analysis. Even if the paper is short, for as long as it exhibits the students ability to use regression analysis properly, it will be accepted. The paper will be graded as follows: i. (25%) Understanding and clear presentation of the problem and data collection process. ii. (50%) Thorough statistical analysis, trying to address all modeling problems encountered. iii. (25%) Interpretation of the results and attempt to answer the research questions/solve the problem. The exercises will mostly be computational and will require the student to utilize appropriate computing facilities. Any software (SAS, SPSS, Statistica, Eviews, etc.) that implement the procedure may be used. Manual calculations method will no longer be presented since it will eat up time that could be spent in discussing more important concepts. The problem sets are mostly machine problems. Most of the problems will be taken from the references. GRADING SYSTEM: After the weights of the examination, problem sets and the paper have been applied, the score in percentage is now rounded up to the next whole number. The grade equivalent shall be as follows: 93-100 85-92 78-84 70-77 60-69 55-59 50.54 Below 50 1.0 1.25 1.5 1.75 2 2.25 2.5 INC

Note that as a graduate student, you are supposed to maintain a weighted average of 2.0 or better. INC is given to those with a failing mark to give them a chance to continue the program.

Regression Analysis