PROC REG: Model Fit and Diagnostic Statistics :: SAS/STAT(R) 9.2 User's Guide, Second Edition

The REG Procedure

Model Fit and Diagnostic Statistics

This section gathers the formulas for the statistics available in the MODEL, PLOT, and OUTPUT statements. The model to be fit is $\text{[math]}$ , and the parameter estimate is denoted by $\text{[math]}$ . The subscript $\text{[math]}$ denotes values for the $\text{[math]}$ th observation, the parenthetical subscript $\text{[math]}$ means that the statistic is computed by using all observations except the $\text{[math]}$ th observation, and the subscript $\text{[math]}$ indicates the $\text{[math]}$ th diagonal matrix entry. The ALPHA= option in the PROC REG or MODEL statement is used to set the $\text{[math]}$ value for the $\text{[math]}$ statistics.

Table 73.8 contains the summary statistics for assessing the fit of the model.

Table 73.8 Formulas and Definitions for Model Fit Summary Statistics
$\text{[math]}$	Definition or Formula
$\text{[math]}$	the number of observations
$\text{[math]}$	the number of parameters including the intercept
$\text{[math]}$	1 if there is an intercept, 0 otherwise
$\text{[math]}$	the estimate of pure error variance from the SIGMA= option or from fitting the full model
$\text{[math]}$	the uncorrected total sum of squares for the dependent variable
$\text{[math]}$	the total sum of squares corrected for the mean for the dependent variable
$\text{[math]}$	the error sum of squares
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	the sum of squares of $\text{[math]}$ (see Table 73.9)
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$
$\text{[math]}$	$\text{[math]}$

Table 73.9 contains the diagnostic statistics and their formulas; these formulas and further information can be found in Chapter 4, Introduction to Regression Procedures, and in the section Influence Statistics. Each statistic is computed for each observation.

Table 73.9 Formulas and Definitions for Diagnostic Statistics
$\text{[math]}$	Formula
PRED ( $\text{[math]}$ )	$\text{[math]}$
RES ( $\text{[math]}$ )	$\text{[math]}$
H ( $\text{[math]}$ )	$\text{[math]}$
STDP	$\text{[math]}$
STDI	$\text{[math]}$
STDR	$\text{[math]}$
LCL	$\text{[math]}$ STDI
LCLM	$\text{[math]}$ STDP
UCL	$\text{[math]}$ STDI
UCLM	$\text{[math]}$ STDP
STUDENT	$\text{[math]}$
RSTUDENT	$\text{[math]}$
COOKD	$\text{[math]}$
COVRATIO	$\text{[math]}$
DFFITS	$\text{[math]}$
DFBETAS $\text{[math]}$	$\text{[math]}$
PRESS( $\text{[math]}$ )	$\text{[math]}$

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