R help - May 2010 - OLS Regression diagnostic measures check list - what to consider?

Hello dear R help list,

I wish to compile a check-list for diagnostic measures for OLS regression.

My question:
Can you offer more (or newer) tests/measures for the validity of a linear
model then what is given here:
http://www.statmethods.net/stats/rdiagnostics.html

This resource gives a list of measures to test for:
OUTLIERS, INFLUENTIAL OBSERVATIONS, NON-NORMALITY, NON-CONSTANT ERROR
VARIANCE, MULTI-COLLINEARITY, NONLINEARITY, NON-INDEPENDENCE OF ERRORS and
some global validation.

I came across it after searching online for ways to validate a regression
model.
Although this is a great list, I am wondering if there is any newer methods
that are overlooked, or important consideration to take into account that
are not described in that page.


Thanks,
Tal



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First a note, while that is a nice list, I think it needs a disclaimer about
only running tests that answer a meaningful question for the data/problem being
studied.  If all those tests are run on datasets, I would be most suspicious of
those datasets which passed all the tests.  Also, failing some of those tests
does not mean that there is a problem with the regression model or its
inferences.

This leads to what I think needs to be included on such lists (or replace such
lists):  The methods described in the paper:

Buja, A., Cook, D. Hofmann, H., Lawrence, M. Lee, E.-K., Swayne,
     D.F and Wickham, H. (2009) Statistical Inference for exploratory
     data analysis and model diagnostics Phil. Trans. R. Soc. A 2009
     367, 4361-4383 doi: 10.1098/rsta.2009.0120

Which in short says to create several plots, one is the residual (or other) plot
from the real data, the rest are based on simulated data that fulfills all the
assumptions.  If you cannot tell which plot is "real", then any
violations of the assumptions are not practically significant.

The vis.test function in the TeachingDemos package implements a version of this
test.

-- 
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 Tal Galili
> Sent: Wednesday, May 05, 2010 5:20 AM
> To: r-help at r-project.org
> Subject: [R] OLS Regression diagnostic measures check list - what to
> consider?
> 
> Hello dear R help list,
> 
> I wish to compile a check-list for diagnostic measures for OLS
> regression.
> 
> My question:
> Can you offer more (or newer) tests/measures for the validity of a
> linear
> model then what is given here:
> http://www.statmethods.net/stats/rdiagnostics.html
> 
> This resource gives a list of measures to test for:
> OUTLIERS, INFLUENTIAL OBSERVATIONS, NON-NORMALITY, NON-CONSTANT ERROR
> VARIANCE, MULTI-COLLINEARITY, NONLINEARITY, NON-INDEPENDENCE OF ERRORS
> and
> some global validation.
> 
> I came across it after searching online for ways to validate a
> regression
> model.
> Although this is a great list, I am wondering if there is any newer
> methods
> that are overlooked, or important consideration to take into account
> that
> are not described in that page.
> 
> 
> Thanks,
> Tal
> 
> 
> 
> ----------------Contact
> Details:-------------------------------------------------------
> Contact me: Tal.Galili at gmail.com |  972-52-7275845
> Read me: www.talgalili.com (Hebrew) | www.biostatistics.co.il (Hebrew)
> |
> www.r-statistics.com (English)
> -----------------------------------------------------------------------
> -----------------------
> 
> 	[[alternative HTML version deleted]]
> 
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On 5/5/10, Tal Galili <tal.galili at gmail.com>
wrote:
>  Although this is a great list, I am wondering if there is any newer
methods
>  that are overlooked, or important consideration to take into account that
>  are not described in that page.
>
Two on-line resources would be "REGRESSION DIAGNOSTICS" by John Fox
[1] and ?Practical Regression and Anova using R? by Julian Faraway
[2].

Regards
Liviu

[1] http://socserv.socsci.mcmaster.ca/jfox/Courses/Brazil-2009/index.html
[2] http://cran.r-project.org/doc/contrib/Faraway-PRA.pdf