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Partial Correlation, Multiple Regression and Multiple Correlation

1 partial correlation coefficients


2 the least-squares multiple regression
partial slopes
3 multiple correlation coefficients
4

Pearsons r
partial correlation

Partial Gamma

interaction

ryxYXryzYZ

rxz
zero-order correlations

first-orderryxz
ryxz =

r yx ( r yz )( rxz )
1 r yz2

----- (1)

1 rxz2

ryxzXYZ

zero-order

direct relationship
ryxzryxspurious
common cause

Spurious relationship between

and

Z as an intervening variable between X and Y


Z

X
Y
ryxzryxryx 0 Z
ZXY
XY

ryxzryxXZY

X
Y
Z

Y Z
X Y Z

Y = a + b1X1 + b2X2 --------------------------- (2)


b1X1Y(the partial slope
)
b2 X2 Y b1 b2
Sy
S1

b1 =

ry1 ry 2 r12

2
1 r12

Sy
S2

b2 =

-------------- (3)

ry 2 ry1r12
-------------- (4)

2
1 r12

a = Y - b1- b2
SY
SX
SX
rYX
rYX

rXX
b b X XY

2
X X X
X
XXY
Y
Z scores
XY
0S 1
standardized partial slopesbeta-weights
b*b*
Y
Y

S
b1*=b1 1
Sy

S2

S
y

b2*=b2

Zy= aZ +b1* Z1 +b2* Z2 aZ = 0


Zy= b1* Z1 +b2* Z2 ----------------- (5)
2 5 2

Y 5 Y

Y
Rmultiple correlation coefficient
R2 (coefficient of multiple determination)
R
R=

ry21 + ry22 2ry1 (ry 2 )(r12 )


1 r122

R2 = r2y1 + r2 y21 (1r2y1)

(r2?)

R2r2

interval-ratio level
X
?

Y12 =
r2Y1 +
r2Y21

Proportion
explained by
X1X2

(1-r2y1)

Proportion
Proportion
Proportion
explained by explained by unexplained by
X1
X2
X1
controlling for
X1


R2ijk

= r2ij + r2ikj ( 1 - r2ij )


= r2ik + r2ijk ( 1- r2ik)

regression model
Y= a + b1X1 + b2X2 + e
ei

Yi = ai + b1Xi1 + b2Xi2 + ei

ei)
ab

Y=

+ 1X1 +2X2 +

Yi =

i + 1Xi1 + 2Xi2 + i

specification error
1 X Y
2 Y
3 Y
Y
Y
X Y
functional form
X Y

2Homoskedasticity ;

4XX

5
Homoskedasticity
Y
perfect high
multicollinearity
(1)(3)d
ab BLUE (Best Linear Unbiased
Estimates) BLUE
multicollinearity ()

(3)e
(Partial Correlation)

XXYY s
XY Yi = ai + bXi2 + eiyeiy
YabXY
X
XXXabXeX
XbXX

e
YX
5000+1000()+e 10000 ,
e10000-5000-1000(2)=3000
YX
XYXee1
XYX
XXYXY
X
YX
Weighted Average YX
multivariate normal distribution

ry12 =

ry1 ( ry 2 )( r12 )
1 ry22 1 r122

XYX
r

Correction factor( ry2) (r12)

YXrr

YX
XYX
XXX
X1 Y
r r r
rr
r 0
1 r r 0
r rrr
r r

0 rr
1 rr0
r

A B A B
A B A
B AB

B
A

spurious)

specification error spurious relation

a closed system)

Z
X

Z
Y

1 2

yz = xy xz
yz xy xzxy xz
X yz

yz.x yz

(Beta)
XXX X
X0
Xa

2X

b b b
b

aXbXbX
b bbb
bb

r bb

(Partial Slope)
remain constant)
Partial Slope
direct effect)

)
beta weights

beta weights (Path Coefficients)

P21
X

P31

41

P52

P54

P53

(Path Analysis)
X2 = P21X1
X3 = P31X1
X4 = P41X1
X5 = P52X2 + P53X3 + P54X4
beta weights

ij.k = bij.k S
sjsi XiXj

S
(?)
j

ij.kl = bij.kl S

S
ij.k
j

ij.k =

r r r
1 r
ij

ik

jk

rij.k

jk

rij.k2 = (ij.k)( ji.k)

beta weights
bivariate correlation (
total correlation) Path Coeficients total correlation
total correlation
total correlaton
total correlationrij
1 X
X XX XXX

2 X X total correlation rij


X X X
X X totla correlation r
3 2
rij = Pik rkj
k

r12 = P21r11 = P21(1) = P21


r13 = P31 r14 = P41
r23 = P31r12 = P31P21 r Path Coefficients
Path Coefficients X X X
r23 = P31 P21 = r13 r12
r23 - r13r12 = 0 , r23.1= 0
( r)(rr13 r
Path Coefficients
dummy variable
/

0 1

1 0

1 0 K
1 K
1

-
-
-
-
--

/
0
1
0
0
0

0
0
1
0
0

0
0
0
1
0

0
0
0
0
1

1
0 0

.007 + .841 .058

0.058
intercept .007 intercept .007
.058

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