Understanding regression assumptions

12 Aug, 2019 at 20:45 | Posted in Statistics & Econometrics | Leave a comment

berryAlthough most social scientists can recite the formal definitions of the various regression assumptions, many have little appreciation of the substantive meanings of these assumptions. And unless the meanings of these assumptions are understood, regression analysis almost inevitably will be a rigid exercise in which a handful of independent variables are cavalierly inserted into a standard linear additive regression and coefficients are estimated. Although such an exercise may occasionally produce results that are worth believing, it will do so only when an analyst is very lucky … This monograph was written to encourage students to … think of regression assumptions as a vital set of conditions the applicability of which must be explicitly analyzed each time regression analysis is utilized.

I thought this book was great when I first read it 25 years ago.
I still do.

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