Last updated: 7th May, 2024
Linear regression is a popular statistical method used to model the relationship between a dependent variable and one or more independent variables. In linear regression, the t-test is a statistical hypothesis testing technique used to test the hypothesis related to the linearity of the relationship between the response variable and different predictor variables. In this blog, we will discuss linear regression and t-test and related formulas and examples. For a detailed read on linear regression, check out my related blog – Linear regression explained with real-life examples.
T-tests are used in linear regression to determine if a particular independent variable (or feature) is statistically significant in the model. A statistically significant variable has a strong relationship with the dependent variable and contributes significantly to the model’s accuracy.
In the following sections, we will explain the formula for t-tests in linear regression and provide examples (Python, R) of how t-tests are used in linear regression models. We will also explain how to interpret t-test results and provide best practices for using t-tests effectively in linear regression analysis. By understanding how t-tests are used in linear regression analysis, data scientists can gain valuable insights into the relationships between variables and develop more accurate and reliable predictive models.
Linear regression can be defined as a linear relationship between the response variable and one or more predictor variables. In other words, it is a statistical technique used to determine if there is a linear correlation between the response and predictor variables. A linear regression model is represented using a linear regression mathematical equation. It can also be called the statistical linear model. For a detailed understanding of different aspects of linear regression models, check out my article – Linear Regression Explained with Real-life Examples
The simple linear regression line can be represented by the equation such as the following:
Y=mX+b
Where Y represents the response variable or dependent variable, X represents the predictor variable or independent variable, m represents the linear slope and b represents the linear intercept. The linear slope, m, can also be termed as the coefficient of the predictor variable. The diagram below represents the linear regression line, dependent (response) and independent (predictor) variables.
Linear regression is of two different types such as the following:
The question that arises is which of the feature or features in linear regression model is the most appropriate feature. This is where the t-test comes into the picture. T-test allows calculation of t-score or t-value or t-statistics for each of the features of the linear regression models and based on the p-value, one or more features get selected or otherwise. Let’s learn more in the next section.
When creating a linear regression model, you can come up with multiple different features or independent variables. However, having multiple features will only make the model very complex. Thus, it becomes important to select the most appropriate features while making the model faster to evaluate, easy to interpret and reduced collinearity. This is where the hypothesis tests such as t-test comes into picture where we calculate t-statistics.
The appropriateness of the linear relationship can be determined by calculating the t-statistic for every regression features while performing t-test. The t-statistic in regression models helps to determine whether the feature is a suitable feature.
The t-test helps in testing whether the coefficients in a regression model are significantly different from zero, indicating that the corresponding predictors have a meaningful contribution to the model. (Lan et al., 2016)
Let’s look at the hypothesis formulation in relation to determining the relationship between dependent and independent variables and how the value that coefficients take to quantify the relationship.
Null Hypothesis (H₀): The null hypothesis states that there is no relationship between the feature (independent / predictor variable) and the dependent / response variable. In terms of regression coefficients, it suggests that the coefficient of the feature is equal to zero.
Alternative Hypothesis (H₁): The alternative hypothesis contradicts the null hypothesis and suggests that there is not enough evidence in place to suggest that there is no relationship between the feature and the dependent variable. This does imply that there is some relationship. It implies that the coefficient of the feature is not equal to zero.
Going by the above, in a simple linear regression model such as Y = mX + b, the t-test can be used to evaluate the value of coefficient, m, based on the following hypothesis:
H0: There is no relationship between Y (response variable) and X (predictor variable)
Ha: There is a relationship between Y and X.
Assuming that the null hypothesis (H0) is true, the linear regression line will be parallel to X-axis such as the following, given Y-axis represents the response variable and the X-axis represent the predictor variable. The following diagram represents the null hypothesis:
The t-test is performed as a hypothesis test to assess the significance of regression coefficients (or features) in the linear regression model. In this case, t-test will be performed to assess the significance of the value, m.
The following is the formula for how to calculate the t-statistic in linear regression. The t-statistic measures the number of standard errors the estimated coefficient is away from the hypothesized value.
t = (β – 0) / SE(β)
where:
In linear regression, we estimate the coefficients (such as β1, β2, β3, …, βn) of the features (such as x1, x2, x3, …, xn) using methods like ordinary least squares (OLS). The t-test is then applied to examine the statistical significance of these coefficients. It compares the estimated coefficient to its standard error (as shown above) to determine if the coefficient is significantly different from zero. The standard error measures the variability in the estimated coefficients. Standard errors quantify the uncertainty associated with the coefficient estimates.
The formula for calculating t-statistic (or t-stat) in simple linear regression is as follows:
t = (m – m0) / SE
Where:
t is the t-test statistic
m is the linear slope or the coefficient value obtained using the least square method; For multi-variate regression models, it represents the coefficient estimate for the variable.
m0 is the hypothesized value of linear slope or the coefficient of the predictor variable. The value of m0 = 0.
SE represents the standard error of the coefficient estimate which can be represented using the following formula:
SE = S / √N
Where S represents the standard deviation and N represents the total number of data points.
The standard error (SE) of the coefficient estimate is a measure of the variability in the coefficient estimate. It quantifies the average amount of variation in the estimated coefficient. It considers the variability of the data, the complexity of the model (as reflected by the number of features), and the estimated variance of the error term.
The degree of freedom for t-statistics will be N-2 where N is number of data points.
The t-statistic is compared to a critical value from the t-distribution based on the degrees of freedom and a chosen significance level (commonly 0.05). If the absolute value of the t-statistic exceeds the critical or threshold value, it indicates that the relationship between the predictor variable and the dependent variable is statistically significant. In other words, if the t-statistic is greater than the threshold value, we can reject the null hypothesis and conclude that the variable is statistically significant in the model. Conversely, if the t-statistic is less than the threshold value, we cannot reject the null hypothesis and conclude that the variable is not statistically significant in the model.
Alternatively, based on the value of t-statistics, one can also calculate the p-value and compare with the level of significance (0.05). If the p-value less than 0.05 indicates that the outcome of t-test is statistically significant and you can reject the null hypothesis that there is no relationship between Y and X (m=0). This means that the value of m calculated holds good.
When the number of variables is small as in simple linear regression model, an exhaustive search amongst all features can be performed. However, as the number of features or independent variables increases, the hypothesis space grows exponentially and heuristic search procedures can be needed. Using the p-values, the variable space can be navigated in the following three possible ways.
Interpreting the t-statistic in regression involves assessing the significance of regression coefficients for each parameter of the regression model. Here’s a basic guideline:
In summary, a higher absolute t-statistic and a p-value lower than the significance threshold generally indicate that the variable is significantly contributing to the model.
T-tests are a powerful tool for determining the significance of individual variables in linear regression models. Here are some examples of scenarios where t-tests are commonly used in linear regression analysis:
Here’s how you can perform t-tests in linear regression using Python:
import statsmodels.api as sm
# Load the dataset
data = sm.datasets.get_rdataset('cars', 'datasets').data
# Fit the linear regression model
model = sm.formula.ols('dist ~ speed', data=data).fit()
# Print the t-test results
print(model.summary())
In the example above, we load the “cars” dataset from the “statsmodels” package and fit a linear regression model to predict the stopping distance of a car based on its speed. We then print the t-test results using the summary() method, which includes the coefficient estimates, standard errors, t-values, and p-values for each variable in the model.
We will fit a simple linear regression model using Cars data available in R. We will follow the following steps to fit and evaluate the model.
# Load the 'cars' dataset data(cars) # Fit the linear regression model model <- lm(dist ~ speed, data = cars) # Print the summary of the model summary(model)
This is what will get printed.
Here is the conclusion we can arrive based on the above output:
Based on the output of the linear regression model you’ve run on the cars
dataset, we can draw conclusions about the speed
parameter by considering its standard error, t-value, and p-value (Pr(>|t|)):
Given the large t-value and the extremely small p-value, we can confidently reject the null hypothesis that speed has no effect on dist. The positive coefficient indicates that as speed increases, the stopping distance (dist) also increases. This relationship is statistically significant, and the relatively small standard error suggests that the estimate of this effect is precise. Therefore, we can conclude that speed is a significant predictor of stopping distance in the cars dataset.
The following are some of the FAQs in relation to linear regression and t-test:
In this blog post, we have explored the formula for t-tests in linear regression, provided examples of when t-tests are used in linear regression models, and explained how to interpret t-test results.
We have learned that t-tests are a powerful tool for determining the significance of individual variables in linear regression models. By performing t-tests, data scientists can identify which variables are most important for predicting the dependent variable and gain valuable insights into the relationships between variables.
By following best practices for using t-tests in linear regression analysis, data scientists can develop more accurate and reliable predictive models and make better-informed decisions. It is recommend that data scientists use t-tests as a standard tool in their linear regression analysis, but with careful consideration of the underlying assumptions and practical implications. By doing so, they can achieve more accurate and reliable results and gain valuable insights into the complex relationships between variables in their datasets.
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