[R] comparing two regression models with different dependent variable

[Gabor Grothendieck]

On Thu, Jun 10, 2010 at 5:33 AM, Joris Meys <jorismeys at gmail.com> wrote:
> This is only valid in case your X matrix is exactly the same, thus

The poster did not give a full explanation so the best that can be
done without getting into an extended question and answer is to make
some assumptions, show the result and hope that the assumptions are
sufficiently close that the poster can tweak it.

That the X matrices are assumed to be the same was clearly stated
already and seems not to be some new revelation.  Ditto for the other
comments below.


> when you have an experiment with multiple response variables (i.e.
> paired response data). When the data for both models come from a
> different experiment, it ends here.
>
> You also assume that y1 and y2 are measured in the same scale, and can
> be substracted. If you take two models, one with response Y in meters
> and one with response Y in centimeters, all others equal, your method
> will find the models "significantly different"  whereas they are
> exactly the same except for a scaling parameter. If we're talking two
> different responses, the substraction of both responses doesn't even
> make sense.
>
> The hypothesis you test is whether there is a significant relation
> between your predictors and the difference of the "reward" response
> and the "punishment" response. If that is the hypothesis of interest,
> the difference can be interpreted in a sensible way, AND both the
> reward learning curve and the punishment learning curve are measured
> simultaneously for every participant in the study, you can
> intrinsically compare both models by modelling the difference of the
> response variable.
>
> As this is not the case (learning curves from punishment and reward
> can never be made up simultaneously), your approach is invalid.
>
> Cheers
> Joris
>
> On Thu, Jun 10, 2010 at 9:00 AM, Gabor Grothendieck
> <ggrothendieck at gmail.com> wrote:
>> We need to define what it means for these models to be the same or
>> different.  With the usual lm assumptions suppose for i=1, 2 (the two
>> models) that:
>>
>> y1 = a1 + X b1 + error1
>> y2 = a2 + X b2 + error2
>>
>> which implies the following which also satisfies the usual lm assumptions:
>>
>> y1-y2 = (a1-a2) + X(b1-b2) + error
>>
>> Here X is a matrix, a1 and a2 are scalars and all other elements are
>> vectors.  We say the models are the "same" if b1=b2 (but allow the
>> intercepts to differ even if the models are the "same").
>>
>> If y1 and y2 are as in the built in anscombe data frame and x3 and x4
>> are the x variables, i.e. columns of X, then:
>>
>>> fm1 <- lm(y1 - y2 ~ x3 + x4, anscombe)
>>> # this model reduces to the following if b1 = b2
>>> fm0 <- lm(y1 - y2 ~ 1, anscombe)
>>> anova(fm0, fm1)
>> Analysis of Variance Table
>>
>> Model 1: y1 - y2 ~ 1
>> Model 2: y1 - y2 ~ x3 + x4
>>  Res.Df    RSS Df Sum of Sq      F Pr(>F)
>> 1     10 20.637
>> 2      8 18.662  2    1.9751 0.4233 0.6687
>>
>> so we cannot reject the hypothesis that the models are the "same".
>>
>>
>> On Wed, Jun 9, 2010 at 11:19 AM, Or Duek <orduek at gmail.com> wrote:
>>> Hi,
>>> I would like to compare to regression models - each model has a different
>>> dependent variable.
>>> The first model uses a number that represents the learning curve for reward.
>>> The second model uses a number that represents the learning curve from
>>> punishment stimuli.
>>> The first model is significant and the second isn't.
>>> I want to compare those two models and show that they are significantly
>>> different.
>>> How can I do that?
>>> Thank you.
>>>
>>>        [[alternative HTML version deleted]]
>>>
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>>>
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
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>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>
>
> --
> Joris Meys
> Statistical consultant
>
> Ghent University
> Faculty of Bioscience Engineering
> Department of Applied mathematics, biometrics and process control
>
> tel : +32 9 264 59 87
> Joris.Meys at Ugent.be
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