I suspect that your data is non-normal. You might try the diagnostics in the nortest package and refer to the text Thode (2002), Testing for Normality, Marcel Decker, quoted in the references to that package. A QQ diagram might help to reveal the problems with your data.
John Frain On 22/02/07, Simon P. Kempf <[EMAIL PROTECTED]> wrote: > > Hello R-Users, > > > > The following questions are not R-technical, but more of general > statistical > nature. > > > > 1. NORMALITY > > I built a normal linear regression model and now I want to check for the > residual normality assumption. If I check the distribution graphically and > look at the descriptive characteristics (skewness and kurtosis are below > 1), > I would confirm that the residuals are normally distributed. > > > > > basicStats(IQR.in.mi02.nw.tdv.mix$residuals) > > round.ans..digits...6. > > nobs 19316.000000 > > NAs 0.000000 > > Minimum -0.639527 > > Maximum 0.693383 > > 1. Quartile -0.083753 > > 3. Quartile 0.088886 > > Mean 0.000000 > > Median 0.004641 > > Sum 0.000000 > > SE Mean 0.001047 > > LCL Mean -0.002053 > > UCL Mean 0.002053 > > Variance 0.021186 > > Stdev 0.145554 > > Skewness -0.164821 > > Kurtosis 0.937282 > > > > However, when I use the jarque.bera.test(), the assumption of normality is > rejected. > > > > > jarque.bera.test(IQR.in.mi02.nw.tdv.mix$residuals) > > > > Jarque Bera Test > > > > data: IQR.in.mi02.nw.tdv.mix$residuals > > X-squared = 795.1296, df = 2, p-value < 2.2e-16 > > > > Therefore, I am wondering how good are the diagnostic test for the > normality > assumption? Do you they work for large sample as well? If not, what other > diagnostic measures for normality exist for large samples? > > > > In many statistic textbooks it is mentioned that for large samples the > significance tests are independent from the distributions of residuals. > Why > is that? > > > > 2. RAMSEY TEST > > I made several scatterplots (residuals ~ predictors). Here everything > looks > fine but when I apply the RAMSEY resettest(), the assumption of linearity > is > rejected. My model does not show any signs of multicollinearity and all > independent variables have strong linear relationship with the dependent > variable. Therefore, I am wondering how well the RAMSEY resettest works in > general. What other tests exist? > > > > Again, I would like to apologize for the asking no specific R-technical > questions. But I would really appreciate any help. > > > > Thanks, > > > > Simon > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- John C Frain Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
