This page shows an example multiple regression
analysis with footnotes explaining the output. The analysis uses a data file
about scores obtained by elementary schools, predicting **api00** from
**ell**, **meals**, **yr_rnd**, **mobility**, **acs_k3**,
**acs_46**, **full**, **emer** and **enroll** using the following Stata
commands.

use http://www.ats.ucla.edu/stat/stata/olc/reg/elemapi regress api00 ell meals yr_rnd mobility acs_k3 acs_46 full emer enroll

The output of this command is shown below, followed by explanations of the output.

**Output**

Source| SS^{a}df^{b}MS^{c}Number of obs^{d}= 395 -------------+------------------------------ F( 9, 385)^{e}= 232.41 Model | 6740702.01 9 748966.89 Prob > F^{f}= 0.0000 Residual | 1240707.78 385 3222.61761 R-squared^{f}= 0.8446 -------------+------------------------------ Adj R-squared^{g}= 0.8409 Total | 7981409.79 394 20257.3852 Root MSE^{h}= 56.768^{i}—————————————————————————— api00

| Coef.^{j}Std. Err.^{k}t^{l}P>|t|^{m}[95% Conf. Interval]^{m}————-+—————————————————————- ell | -.8600707 .2106317 -4.08 0.000 -1.274203 -.4459382 meals | -2.948216 .1703452 -17.31 0.000 -3.28314 -2.613293 yr_rnd | -19.88875 9.258442 -2.15 0.032 -38.09218 -1.68531 mobility | -1.301352 .4362053 -2.98 0.003 -2.158995 -.4437089 acs_k3 | 1.3187 2.252683 0.59 0.559 -3.1104 5.747801 acs_46 | 2.032456 .7983213 2.55 0.011 .462841 3.602071 full | .609715 .4758205 1.28 0.201 -.3258169 1.545247 emer | -.7066192 .6054086 -1.17 0.244 -1.89694 .4837018 enroll | -.012164 .0167921 -0.72 0.469 -.0451798 .0208517 _cons | 778.8305 61.68663 12.63 0.000 657.5457 900.1154 ——————————————————————————^{n}

**Footnotes **

**a**. This is
the source of variance, Model, Residual, and Total. The Total Variance is partitioned into the variance
which can be explained by the independent variables (Model) and the variance
which is not explained by the independent variables (Residual). Note that the Sums of Squares for the Model and
Residual add up to the Total Variance, reflecting the fact that the Total
Variance is partitioned into Model and Residual variance.

**b**. These are
the Sum of Squares associated with the three sources of variance, Total,
Model and Residual. These can be computed in many
ways. Conceptually, these formulas can be expressed as:

SSTotal: The total
variability around the mean.
Σ (Y –
Ybar)^{2}.
SSResidual:
The sum of squared errors in prediction.
Σ (Y –
Ypredicted)^{2}.
SSModel: The improvement in prediction by using
the predicted value of Y over just using the mean of Y. Hence, this
would be the squared differences between the predicted value of Y and the
mean of Y, S(Ypredicted – Ybar)^{2}. Another way to
think of this is the SSModel is SSTotal – SSResidual. Note that the
SSTotal = SSModel + SSResidual. Note that SSModel / SSTotal is equal
to .84, the value of R-Square. This is because R-Square is the
proportion of the variance explained by the independent variables, hence
can be computed by SSModel / SSTotal.

**c**. These are
the degrees of freedom associated with the sources of
variance. The total variance has N-1 degrees of freedom
(DF). In this case, there were N=395 observations, so the DF for total
is 394. The model degrees of freedom corresponds to the
number of predictors minus 1 (K-1). You may think this would be 9-1
(since there were 9 independent variables in the model: **ell**, **meals**,
**yr_rnd**,
**mobility**, **acs_k3**, **acs_46**, **full**, **emer** and
**enroll**). But, the intercept is
automatically included in the model (unless you explicitly omit the
intercept). Including the intercept, there are 10 predictors, so the
model has 10-1=9 degrees of freedom. The Residual degrees of freedom
is the DF total minus the DF model, 394 – 9 is 385.

**d**. These are
the Mean Squares, the Sum of Squares divided by their respective DF.
For the Model, 6740702.01 / 9 is equal to 748966.89. For the Residual,
1240707.79 / 385 equals 3222.6176. These are computed so you can compute
the F ratio, dividing the Mean Square Model by the Mean Square Residual
(or Error) to test the significance of the predictors in the model.

**e**. This is
the number of observations used in the regression analysis.

**f**. The F
Value is the Mean Square Model (748966.89) divided by the Mean Square
Residual (3222.61761), yielding F=232.41. The p-value associated with
this F value is very small (0.0000). These values are used to answer
the question “Do the independent variables reliably predict the dependent
variable?”. The p-value is compared to your alpha level (typically
0.05) and, if smaller, you can conclude “Yes, the independent variables
reliably predict the dependent variable”. You could say that the
group of variables **ell**, **meals**, **yr_rnd**, **mobility**,
**acs_k3**, **acs_46**, **full** ,
and **enroll** can be used to
reliably predict **api00** (the dependent variable). If the
p-value were greater than 0.05, you would say that the group of independent
variables do not show a significant relationship with the dependent
variable, or that the group of independent variables do not reliably
predict the dependent variable. Note that this is an overall
significance test assessing whether the group of independent variables
when used together reliably predict the dependent variable, and does not
address the ability of any of the particular independent variables to
predict the dependent variables. The ability of each individual
independent variable to predict the dependent variable is addressed in the
table below where each of the individual variables are listed.

**g**. R-Square
is the proportion of variance in the dependent variable (**api00**) which
can be predicted from the independent variables (**ell**, **meals**,
**yr_rnd**,
**mobility**, **acs_k3**, **acs_46**, **full** **emer**, and
**enroll**). This value indicates that
84% of the variance in **api00** can be predicted from the variables **ell**,
**meals**, **yr_rnd**, **mobility**, **acs_k3**, **acs_46**,
**full**, **emer** and **enroll**. Note that this is an overall measure of the strength of
association, and does not reflect the extent to which any particular
independent variable is associated with the dependent variable.

**h**. Adjusted
R-square. As predictors are added to the model, each predictor will
explain some of the variance in the dependent variable simply due to
chance. One could continue to add predictors to the model which
would continue to improve the ability of the predictors to explain the
dependent variable, although some of this increase in R-square would be
simply due to chance variation in that particular sample. The
adjusted R-square attempts to yield a more honest value to estimate the
R-squared for the population. The value of R-square was .8446,
while the value of Adjusted R-square was .8409. Adjusted R-squared is
computed using the formula 1 – ( (1-R-sq)(N-1 / N – k – 1) ). From
this formula, you can see that when the number of observations is small
and the number of predictors is large, there will be a much greater
difference between R-square and adjusted R-square (because the ratio of
(N-1 / N – k – 1) will be much less than 1. By contrast, when the
number of observations is very large compared to the number of predictors,
the value of R-square and adjusted R-square will be much closer because
the ratio
of (N-1)/(N-k-1) will approach 1.

**i**. Root MSE
is the standard deviation of the error term, and is the square root of the
Mean Square Residual (or Error)

**j**. This
column shows the dependent variable at the top (**api00**) with the
predictor variables below it (**ell**, **meals**, **yr_rnd**, **mobility**,
**acs_k3**,
**acs_46**, **full** **emer** and **enroll**). The last variable (**_cons**) represents the constant, also
referred to in textbooks as the Y intercept, the height of the regression
line when it crosses the Y axis.

**k**. These are the values for the regression
equation for predicting the dependent variable from the independent
variable. The regression equation is presented in many different
ways, for example:

**Ypredicted = b0 + b1*x1 +
b2*x2 + b3*x3 . . . **

The column of estimates (coefficients or parameter estimates, from here on labeled coefficients) provides the values for b0, b1, b2, b3, b4, b5, b6, b7, b8 and b9 for this equation. Expressed in terms of the variables used in this example, the regression equation is

** api00Predicted =
778.83-.86*ell-2.95*meals-19.89*yr_rnd-1.30*mobility+1.32*acs_k3+2.03*acs_46+.61*full-.71*emer-.01*enroll**

These estimates tell you about the
relationship between the independent variables and the dependent
variable. These estimates tell the amount of increase in api00 that would be predicted by a 1 unit increase in the predictor.
Note: For the independent variables which are not significant, the
coefficients are not significantly different from 0, which should be taken
into account when interpreting the coefficients. (See the columns
with the t-value and p-value about testing whether the coefficients are
significant.)
**ell** – The coefficient
(parameter estimate) is -.86. So, for every unit increase in ell, a
.86 unit decrease in **api00** is predicted. Or, for every
increase of one percentage point of **api00**, **ell** is predicted to be lower by
.86. This is significantly different from
0.
**meals** – For every unit increase in **meals**, there is a
2.95 unit decrease in the predicted **api00**.

**yr_rnd** – For every unit
increase of **yr_rnd**, the predicted value of **api00** would be 19.89 units
lower.
** mobility** – For every unit increase in
**mobility**, **api00** is predicted to be 1.30 units lower.
**acs_k3** – For every unit increase in **acs_k3**, **api00** is predicted to be
1.32 units higher.
**acs_46** – For every unit increase in **acs_46**, **api00** is predicted to be
2.03 units higher.
**full** – For every unit increase in **full**, **api00** is predicted to be
.61 units higher.
**emer** – For every unit increase in **emer**, **api00** is predicted to be
.71 units lower.
**enroll **– For every unit increase in **enroll**, **api00** is predicted to be
.01 units lower.

**l**. These are
the standard errors associated with the coefficients. The standard
error is used for testing whether the parameter is significantly different
from 0 by dividing the parameter estimate by the standard error to obtain
a t value (see the column with t values and p-values). The standard
errors can also be used to form a confidence interval for the parameter,
as shown in the last 2 columns of this table.

**m**. These
columns provide the t value and 2 tailed p-value used in testing the null
hypothesis that the coefficient/parameter is 0. If you use a 2-tailed test, then you would compare each
p-value to your preselected value
of alpha. Coefficients having p-values less than alpha are
significant. For example, if you chose alpha to be 0.05,
coefficients having a p-value of 0.05 or less would be statistically
significant (i.e., you can reject the null hypothesis and say that the
coefficient is significantly different from 0). If you use a 1-tailed test (i.e., you predict that the parameter will go in a particular
direction), then you can divide the p-value by 2 before comparing it to
your preselected alpha level. With a 2-tailed test and alpha of
0.05, you can reject the null hypothesis that the coefficient for **ell** is equal to 0. The coefficient of
-.86 is significantly different from 0. Using a 2-tailed test and alpha of 0.01, the
p-value of
0.000 is smaller than 0.01 and the coefficient for **ell** would still be
significant at the 0.01 level. Had you predicted that this coefficient
would be positive (i.e., a 1-tailed test), you would be able to divide the
p-value by 2 before comparing it to alpha. This would yield a 1-tailed
p-value of 0.000, which is less than 0.01, and then you could
conclude that this coefficient is greater than 0 with a 1-tailed alpha
of 0.01.
The coefficient for **meals** is significantly
different from 0 using alpha of 0.05 because its p-value of 0.000 is
smaller than 0.05.
The coefficient for **yr_rnd** (-19.89) is
significantly different from 0 because its p-value is definitely smaller
than 0.05 and even 0.01.
The coefficient for **mobility** is significantly
different from 0 using alpha of 0.05 because its p-value of 0.003 is
smaller than 0.05.
The coefficient for **acs_k3** is not significantly different
from 0 using alpha of 0.05 because its p-value of .559 is greater than
0.05.
The coefficient for **acs_46** is significantly
different from 0 using alpha of 0.05 because its p-value of 0.011 is
smaller than 0.05.
The coefficient for **full**
is not significantly different from 0 using alpha of 0.05 because its
p-value of .201 is greater than 0.05.
The coefficient for **emer** is not significantly different from 0 using alpha of 0.05 because its
p-value of .244 is greater than 0.05.
The coefficient for **enroll**
is not significantly different from 0 using alpha of 0.05 because its
p-value of .469 is greater than 0.05.
The constant (**_cons**) is
significantly different from 0 at the 0.05 alpha level. However,
having a significant intercept is seldom interesting.

**n**. This shows
a 95% confidence interval for the coefficient. This is very useful
as it helps you understand how high and how low the actual population
value of the parameter might be. Consider the coefficients for **ell**
(-.86) and **meals** (-2.95). Immediately you see that the estimate
for **meals** is so much bigger, but examine the confidence interval for it
(-3.28 to -2.61). Now examine the confidence interval for **ell** (-1.27
to -.45). Even though **meals** has a larger coefficient, it could
be as small as -3.28. By contrast, the lower confidence level for **ell** is
-1.27.