R help - Mar 2010 - Selecting Best Model in an anova.

Hello,

I have a simple theorical question about regresion...

Let's suppose I have this:

Model 1:
Y = B0 + B1*X1 + B2*X2 + B3*X3
and
Model 2:
Y = B0 + B2*X2 + B3*X3
I.E.
Model1 = lm(Y~X1+X2+X3)
Model2 = lm(Y~X2+X3)

The Ajusted R-Square for Model1 is 0.9 and the Ajusted R-Square for Model2 is
0.99, among many other significant improvements.

And I want to do the anova test to choose the best one:

H0: B1 = 0
H1: B1 != 0

Test = Anova(Model2,Model1)

How do I know what model wins? (I'm using a confidence level of 0.1)...

My guess is that:
If p-value of summary(Test) is greater than 0.1 then I don't reject H0 so
Model2 is better and otherwise I reject H0 so Model1 is better?

My teacher once said: "If p-value is greater than 0,5 we choose the short
model and otherwise we choose the long model", but she never said how the
p-value and the significance level were related in this test... Actually she
never talked about significance level...

In short: Should I consider the significance level or always use 0.05 for this
kind of test?

Thanks a lot!

Hector Guilarte
Enviado desde mi dispositivo movil BlackBerry? de Digitel.

This really depends on what question you are trying to answer, and for some
questions the "Best" model is not one of the 2 you show.

-- 
Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow at imail.org
801.408.8111

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of Hector Guilarte
> Sent: Thursday, March 25, 2010 1:36 AM
> To: r-help at r-project.org
> Subject: [R] Selecting Best Model in an anova.
> 
> Hello,
> 
> I have a simple theorical question about regresion...
> 
> Let's suppose I have this:
> 
> Model 1:
> Y = B0 + B1*X1 + B2*X2 + B3*X3
> and
> Model 2:
> Y = B0 + B2*X2 + B3*X3
> I.E.
> Model1 = lm(Y~X1+X2+X3)
> Model2 = lm(Y~X2+X3)
> 
> The Ajusted R-Square for Model1 is 0.9 and the Ajusted R-Square for
> Model2 is 0.99, among many other significant improvements.
> 
> And I want to do the anova test to choose the best one:
> 
> H0: B1 = 0
> H1: B1 != 0
> 
> Test = Anova(Model2,Model1)
> 
> How do I know what model wins? (I'm using a confidence level of 0.1)...
> 
> My guess is that:
> If p-value of summary(Test) is greater than 0.1 then I don't reject H0
> so Model2 is better and otherwise I reject H0 so Model1 is better?
> 
> My teacher once said: "If p-value is greater than 0,5 we choose the
> short model and otherwise we choose the long model", but she never
said
> how the p-value and the significance level were related in this test...
> Actually she never talked about significance level...
> 
> In short: Should I consider the significance level or always use 0.05
> for this kind of test?
> 
> Thanks a lot!
> 
> Hector Guilarte
> Enviado desde mi dispositivo movil BlackBerry(r) de Digitel.
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-
> guide.html
> and provide commented, minimal, self-contained, reproducible code.