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How to compare two nested linear models (in R)

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Task

Model $A$ is said to be “nested” in model $B$ if the predictors included in $A$ are a subset of those included in $B$. In such a situation, how can we determine if the larger model (in this case $B$) is significantly better than the smaller (reduced) model? We can use an Extra Sums of Squares test, also called a partial $F$-test, to compare two nested linear.

This technique will also help us with another question. If we have a multivarate linear model,

\[\hat{y}=\beta_0 + \beta_1x_1 + \beta_2x_2 + \cdots + \beta_kx_k,\]

how can we test the influence of only some of the coefficients? If we remove some of the coefficients, we have a smaller model nested in the larger one, so the question is the same.

Related tasks:

Solution

The solution below uses an example dataset about car design and fuel consumption from a 1974 Motor Trend magazine. (See how to quickly load some sample data.)

We will create two models, one nested inside the other, in a natural way in this example. But this is not the only way to create nested models; it is just an example.

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# install.packages("datasets") # if you have not done so already
library(datasets)
data(mtcars)
df <- mtcars

Consider a model using number of cylinders (cyl) and weight of car (wt) to predict its fuel efficiency (mpg). We create this model and perform an ANOVA to see if the predictors are significant.

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# Build the model
add_model <- lm(mpg ~ cyl + wt, data = df)
# Perform an ANOVA
anova(add_model)

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          Df Sum Sq   Mean Sq    F value   Pr(>F)      
cyl        1 817.7130 817.712952 124.04369 5.424327e-12
wt         1 117.1623 117.162269  17.77303 2.220200e-04
Residuals 29 191.1720   6.592137        NA           NA

The final column of output suggests that both predictors are significant. A natural question to ask is whether the two predictors have an interaction effect. Let’s create a model containing the interaction term.

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# Build the model with interaction
int_model <- lm(mpg ~ cyl * wt, data = df)
# Perform an ANOVA
anova(int_model)

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          Df Sum Sq    Mean Sq    F value    Pr(>F)      
cyl        1 817.71295 817.712952 145.856269 1.280635e-12
wt         1 117.16227 117.162269  20.898350 8.942713e-05
cyl:wt     1  34.19577  34.195767   6.099533 1.988242e-02
Residuals 28 156.97620   5.606293         NA           NA

As seen in the final column of output, there is a significant interaction between the two predictors.

We now have one model (add_model) nested inside a larger model (int_model). To check which model is better, we can conduct an ANOVA comparing the two models.

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# Use ANOVA to compare the models
anova(add_model, int_model)

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  Res.Df RSS      Df Sum of Sq F        Pr(>F)    
1 29     191.1720 NA       NA        NA         NA
2 28     156.9762  1 34.19577  6.099533 0.01988242

We have just performed this hypothesis test:

$H_0 =$ the two models are equally useful for predicting the outcome

$H_a =$ the larger model is significantly better than the smaller model

In the final column of the output, called Pr(>F), the only number in that column is our test statistic, $0.01988$. Since is below our chosen threshold of $0.05$, we reject the null hypothesis, and prefer to use the second model.

This method can be used to check if covariates should be included in the model, or if additional variables should be added as well.

Content last modified on 24 July 2023.

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Contributed by:

  • Elizabeth Czarniak (CZARNIA_ELIZ@bentley.edu)
  • Krtin Juneja (KJUNEJA@falcon.bentley.edu)