The REG Procedure

Predicted and Residual Values

The display of the predicted values and residuals is controlled by the P, R, CLM, and CLI options in the MODEL statement. The P option causes PROC REG to display the observation number, the ID value (if an ID statement is used), the actual value, the predicted value, and the residual. The R, CLI, and CLM options also produce the items under the P option. Thus, P is unnecessary if you use one of the other options.

The R option requests more detail, especially about the residuals. The standard errors of the mean predicted value and the residual are displayed. The studentized residual, which is the residual divided by its standard error, is both displayed and plotted. A measure of influence, Cook’s D, is displayed and plotted. Cook’s D measures the change to the estimates that results from deleting each observation (Cook 1977, 1979). This statistic is very similar to DFFITS.

The CLM option requests that PROC REG display the $100(1-\alpha )$% lower and upper confidence limits for the mean predicted values. This accounts for the variation due to estimating the parameters only. If you want a $100(1-\alpha )$% confidence interval for observed values, then you can use the CLI option, which adds in the variability of the error term. The $\alpha $ level can be specified with the ALPHA= option in the PROC REG or MODEL statement.

You can use these statistics in PLOT and PAINT statements. This is useful in performing a variety of regression diagnostics. For definitions of the statistics produced by these options, see Chapter 4: Introduction to Regression Procedures.

The following statements use the U.S. population data found in the section Polynomial Regression. The results are shown in Figure 97.33 and Figure 97.34.

ods graphics on;

data USPop2;
   input Year @@;
   YearSq=Year*Year;
   datalines;
2010 2020 2030
;

data USPop2;
   set USPopulation USPop2;
run;

proc reg data=USPop2;
   id Year;
   model Population=Year YearSq / r cli clm;
run;

Figure 97.33: Regression Using the R, CLI, and CLM Options

The REG Procedure
Model: MODEL1
Dependent Variable: Population

Analysis of Variance
Source DF Sum of
Squares
Mean
Square
F Value Pr > F
Model 2 159529 79765 8864.19 <.0001
Error 19 170.97193 8.99852    
Corrected Total 21 159700      

Root MSE 2.99975 R-Square 0.9989
Dependent Mean 94.64800 Adj R-Sq 0.9988
Coeff Var 3.16938    

Parameter Estimates
Variable DF Parameter
Estimate
Standard
Error
t Value Pr > |t|
Intercept 1 21631 639.50181 33.82 <.0001
Year 1 -24.04581 0.67547 -35.60 <.0001
YearSq 1 0.00668 0.00017820 37.51 <.0001



Figure 97.34: Regression Using the R, CLI, and CLM Options

The REG Procedure
Model: MODEL1
Dependent Variable: Population

Output Statistics
Obs Year Dependent
Variable
Predicted
Value
Std
Error
Mean
Predict
95% CL Mean 95% CL Predict Residual Std Error
Residual
Student
Residual
Cook's D
1 1790 3.93 6.2127 1.7565 2.5362 9.8892 -1.0631 13.4884 -2.2837 2.432 -0.939 0.153
2 1800 5.31 5.7226 1.4560 2.6751 8.7701 -1.2565 12.7017 -0.4146 2.623 -0.158 0.003
3 1810 7.24 6.5694 1.2118 4.0331 9.1057 -0.2021 13.3409 0.6696 2.744 0.244 0.004
4 1820 9.64 8.7531 1.0305 6.5963 10.9100 2.1144 15.3918 0.8849 2.817 0.314 0.004
5 1830 12.87 12.2737 0.9163 10.3558 14.1916 5.7087 18.8386 0.5923 2.856 0.207 0.001
6 1840 17.07 17.1311 0.8650 15.3207 18.9415 10.5968 23.6655 -0.0621 2.872 -0.022 0.000
7 1850 23.19 23.3254 0.8613 21.5227 25.1281 16.7932 29.8576 -0.1344 2.873 -0.047 0.000
8 1860 31.44 30.8566 0.8846 29.0051 32.7080 24.3107 37.4024 0.5864 2.866 0.205 0.001
9 1870 39.82 39.7246 0.9163 37.8067 41.6425 33.1597 46.2896 0.0934 2.856 0.033 0.000
10 1880 50.16 49.9295 0.9436 47.9545 51.9046 43.3476 56.5114 0.2255 2.847 0.079 0.000
11 1890 62.95 61.4713 0.9590 59.4641 63.4785 54.8797 68.0629 1.4757 2.842 0.519 0.010
12 1900 75.99 74.3499 0.9590 72.3427 76.3571 67.7583 80.9415 1.6441 2.842 0.578 0.013
13 1910 91.97 88.5655 0.9436 86.5904 90.5405 81.9836 95.1473 3.4065 2.847 1.196 0.052
14 1920 105.71 104.1178 0.9163 102.2000 106.0357 97.5529 110.6828 1.5922 2.856 0.557 0.011
15 1930 122.78 121.0071 0.8846 119.1556 122.8585 114.4612 127.5529 1.7679 2.866 0.617 0.012
16 1940 131.67 139.2332 0.8613 137.4305 141.0359 132.7010 145.7654 -7.5642 2.873 -2.632 0.208
17 1950 151.33 158.7962 0.8650 156.9858 160.6066 152.2618 165.3306 -7.4712 2.872 -2.601 0.205
18 1960 179.32 179.6961 0.9163 177.7782 181.6139 173.1311 186.2610 -0.3731 2.856 -0.131 0.001
19 1970 203.21 201.9328 1.0305 199.7759 204.0896 195.2941 208.5715 1.2782 2.817 0.454 0.009
20 1980 226.54 225.5064 1.2118 222.9701 228.0427 218.7349 232.2779 1.0356 2.744 0.377 0.009
21 1990 248.71 250.4168 1.4560 247.3693 253.4644 243.4378 257.3959 -1.7068 2.623 -0.651 0.044
22 2000 281.42 276.6642 1.7565 272.9877 280.3407 269.3884 283.9400 4.7578 2.432 1.957 0.666
23 2010 . 304.2484 2.1073 299.8377 308.6591 296.5754 311.9214 . . . .
24 2020 . 333.1695 2.5040 327.9285 338.4104 324.9910 341.3479 . . . .
25 2030 . 363.4274 2.9435 357.2665 369.5883 354.6310 372.2238 . . . .



Figure 97.35: Studentized Residuals and Cook’s D

Studentized Residuals and Cook’s


After producing the usual analysis of variance and parameter estimates tables (Figure 97.33), the procedure displays the results of requesting the options for predicted and residual values (Figure 97.34). For each observation, the requested information is shown. Note that the ID variable is used to identify each observation. Also note that, for observations with missing dependent variables, the predicted value, standard error of the predicted value, and confidence intervals for the predicted value are still available.

The studentized residuals and Cook’s D statistics in Figure 97.34 and Figure 97.35 are displayed as a result of specifying the R option. The large absolute studentized residuals for 1940 and 1950 (best seen in Figure 97.35) indicate that the overall model is inadequate for explaining the population in these two years. You can use ODS Graphics to obtain plots of studentized residuals by predicted values or leverage; see Example 97.1 for a similar example.