Linear regression - prediction

Posts: 33

Linear regression - prediction

Hello everyone,

I have a situation where three X variables are in "strange" curvilinear relationship with Y var., but, when i put those X vars. as predictors in multiple linear regression, as result i get high value of Adj.R Square, all X vars. are stat. significant (p<0,001) and all assumptions for linear regression are met except of linearity. How is it possible that the model is still good, despite the fact that the assumption of linearity is not fulfilled?



Trusted Advisor
Posts: 1,496

Re: Linear regression - prediction

Because you are able to fit a linear model with high Adj R. Square does not imply that this is the best model ... you should get a better Adj R. Square if you fit the curvature properly.

The curvature may produce data that slopes up or slopes down, and hence the appearance of a good fit and significant coefficients.

Grand Advisor
Posts: 10,210

Re: Linear regression - prediction

Here's an example to look at:

data junk;

     do x= 0 to 10 by .1;

     y = x + cos(x);




Where x has a somewhat "strange" curvilinear relationship with y but the R-square is 0.9385 and the parameter for x has a p-value < 0.0001;

The data bounces back and forth across the line y=x, not very far as all of the values are within the 95% prediction interval for individual values.

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