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Avoid negative differences in ftest
We already enforce that all models are nested in the same direction so the sign doesn't add any information. Fixes #576.
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‎docs/src/index.md‎

Lines changed: 6 additions & 6 deletions
Original file line numberDiff line numberDiff line change
@@ -138,12 +138,12 @@ julia> ols_sq = lm(@formula(y ~ x + x^2), data);
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julia> ftest(ols_lin, ols_sq)
140140
F-test: 2 models fitted on 50 observations
141-
─────────────────────────────────────────────────────────────────────────────────
142-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
143-
─────────────────────────────────────────────────────────────────────────────────
144-
[1] 3 1731979.2266 0.9399
145-
[2] 4 1 40.7581 -1731938.4685 1.0000 0.0601 1997177.0357 <1e-99
146-
─────────────────────────────────────────────────────────────────────────────────
141+
────────────────────────────────────────────────────────────────────────────────
142+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
143+
────────────────────────────────────────────────────────────────────────────────
144+
[1] 3 1731979.2266 0.9399
145+
[2] 4 1 40.7581 1731938.4685 1.0000 0.0601 1997177.0357 <1e-99
146+
────────────────────────────────────────────────────────────────────────────────
147147
```
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149149
## Methods applied to fitted models

‎src/ftest.jl‎

Lines changed: 25 additions & 24 deletions
Original file line numberDiff line numberDiff line change
@@ -63,10 +63,10 @@ function ftest(mod::LinearModel)
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6464
n = Int(nobs(mod))
6565
p = dof(mod) - 2 # -2 for intercept and dispersion parameter
66-
fstat = ((tss - rss) / rss) * ((n - p - 1) / p)
66+
fstat = abs(((tss - rss) / rss) * ((n - p - 1) / p))
6767
fdist = FDist(p, dof_residual(mod))
6868

69-
return SingleFTestResult(n, p, promote(fstat, ccdf(fdist, abs(fstat)))...)
69+
return SingleFTestResult(n, p, promote(fstat, ccdf(fdist, fstat))...)
7070
end
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7272
"""
@@ -77,9 +77,10 @@ the one model fits significantly better than the other. Models must have been fi
7777
on the same data, and be nested either in forward or backward direction.
7878
7979
A table is returned containing consumed degrees of freedom (DOF),
80-
difference in DOF from the preceding model, sum of squared residuals (SSR), difference in
81-
SSR from the preceding model, R², difference in R² from the preceding model, and F-statistic
82-
and p-value for the comparison between the two models.
80+
absolute difference in DOF from the preceding model, sum of squared residuals (SSR),
81+
absolute difference in SSR from the preceding model, R², absolute difference in R²
82+
from the preceding model, and F-statistic and p-value for the comparison
83+
between the two models.
8384
8485
!!! note
8586
This function can be used to perform an ANOVA by testing the relative fit of two models
@@ -110,22 +111,22 @@ julia> bigmodel = lm(@formula(Result ~ 1 + Treatment + Other), dat);
110111
111112
julia> ftest(nullmodel, model)
112113
F-test: 2 models fitted on 12 observations
113-
─────────────────────────────────────────────────────────────────
114-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
115-
─────────────────────────────────────────────────────────────────
116-
[1] 2 3.2292 0.0000
117-
[2] 3 1 0.1283 -3.1008 0.9603 0.9603 241.6234 <1e-07
118-
─────────────────────────────────────────────────────────────────
114+
────────────────────────────────────────────────────────────────
115+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
116+
────────────────────────────────────────────────────────────────
117+
[1] 2 3.2292 0.0000
118+
[2] 3 1 0.1283 3.1008 0.9603 0.9603 241.6234 <1e-07
119+
────────────────────────────────────────────────────────────────
119120
120121
julia> ftest(nullmodel, model, bigmodel)
121122
F-test: 3 models fitted on 12 observations
122-
─────────────────────────────────────────────────────────────────
123-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
124-
─────────────────────────────────────────────────────────────────
125-
[1] 2 3.2292 0.0000
126-
[2] 3 1 0.1283 -3.1008 0.9603 0.9603 241.6234 <1e-07
127-
[3] 5 2 0.1017 -0.0266 0.9685 0.0082 1.0456 0.3950
128-
─────────────────────────────────────────────────────────────────
123+
────────────────────────────────────────────────────────────────
124+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
125+
────────────────────────────────────────────────────────────────
126+
[1] 2 3.2292 0.0000
127+
[2] 3 1 0.1283 3.1008 0.9603 0.9603 241.6234 <1e-07
128+
[3] 5 2 0.1017 0.0266 0.9685 0.0082 1.0456 0.3950
129+
────────────────────────────────────────────────────────────────
129130
```
130131
"""
131132
function ftest(mods::LinearModel...; atol::Real=0.0)
@@ -153,7 +154,7 @@ function ftest(mods::LinearModel...; atol::Real=0.0)
153154
SSR = deviance.(mods)
154155

155156
df = dof.(mods)
156-
Δdf = _diff(df)
157+
Δdf = abs.(_diff(df))
157158
dfr = Int.(dof_residual.(mods))
158159
MSR1 = _diffn(SSR) ./ Δdf
159160
MSR2 = (SSR ./ dfr)
@@ -165,8 +166,8 @@ function ftest(mods::LinearModel...; atol::Real=0.0)
165166
dfr_big = dfr[1:(end - 1)]
166167
end
167168

168-
fstat = (NaN, (MSR1 ./ MSR2)...)
169-
pval = (NaN, ccdf.(FDist.(abs.(Δdf), dfr_big), abs.(fstat[2:end]))...)
169+
fstat = abs.((NaN, (MSR1 ./ MSR2)...))
170+
pval = (NaN, ccdf.(FDist.(Δdf, dfr_big), fstat[2:end])...)
170171

171172
return FTestResult(Int(nobs(mods[1])), SSR, df, r2.(mods), fstat, pval)
172173
end
@@ -179,9 +180,9 @@ function show(io::IO, ftr::SingleFTestResult)
179180
end
180181

181182
function show(io::IO, ftr::FTestResult{N}) where {N}
182-
Δdof = _diff(ftr.dof)
183-
Δssr = _diff(ftr.ssr)
184-
ΔR² = _diff(ftr.r2)
183+
Δdof = abs.(_diff(ftr.dof))
184+
Δssr = abs.(_diff(ftr.ssr))
185+
ΔR² = abs.(_diff(ftr.r2))
185186

186187
nc = 9
187188
nr = N

‎test/runtests.jl‎

Lines changed: 26 additions & 26 deletions
Original file line numberDiff line numberDiff line change
@@ -1420,24 +1420,24 @@ end
14201420
@test ft1a.pval[2] ≈ 2.481215056713184e-8
14211421
@test sprint(show, ft1a) == """
14221422
F-test: 2 models fitted on 12 observations
1423-
─────────────────────────────────────────────────────────────────
1424-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1425-
─────────────────────────────────────────────────────────────────
1426-
[1] 3 0.1283 0.9603
1427-
[2] 2 -1 3.2292 3.1008 0.0000 -0.9603 241.6234 <1e-07
1428-
─────────────────────────────────────────────────────────────────"""
1423+
────────────────────────────────────────────────────────────────
1424+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1425+
────────────────────────────────────────────────────────────────
1426+
[1] 3 0.1283 0.9603
1427+
[2] 2 1 3.2292 3.1008 0.0000 0.9603 241.6234 <1e-07
1428+
────────────────────────────────────────────────────────────────"""
14291429

14301430
ft1b = ftest(nullmod, mod)
14311431
@test isnan(ft1b.pval[1])
14321432
@test ft1b.pval[2] ≈ 2.481215056713184e-8
14331433
@test sprint(show, ft1b) == """
14341434
F-test: 2 models fitted on 12 observations
1435-
─────────────────────────────────────────────────────────────────
1436-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1437-
─────────────────────────────────────────────────────────────────
1438-
[1] 2 3.2292 0.0000
1439-
[2] 3 1 0.1283 -3.1008 0.9603 0.9603 241.6234 <1e-07
1440-
─────────────────────────────────────────────────────────────────"""
1435+
────────────────────────────────────────────────────────────────
1436+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1437+
────────────────────────────────────────────────────────────────
1438+
[1] 2 3.2292 0.0000
1439+
[2] 3 1 0.1283 3.1008 0.9603 0.9603 241.6234 <1e-07
1440+
────────────────────────────────────────────────────────────────"""
14411441

14421442
bigmod = lm(@formula(Result~Treatment+Other), d)
14431443
ft2a = ftest(nullmod, mod, bigmod)
@@ -1446,27 +1446,27 @@ end
14461446
@test ft2a.pval[3] ≈ 0.3949973540194818
14471447
@test sprint(show, ft2a) == """
14481448
F-test: 3 models fitted on 12 observations
1449-
─────────────────────────────────────────────────────────────────
1450-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1451-
─────────────────────────────────────────────────────────────────
1452-
[1] 2 3.2292 0.0000
1453-
[2] 3 1 0.1283 -3.1008 0.9603 0.9603 241.6234 <1e-07
1454-
[3] 5 2 0.1017 -0.0266 0.9685 0.0082 1.0456 0.3950
1455-
─────────────────────────────────────────────────────────────────"""
1449+
────────────────────────────────────────────────────────────────
1450+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1451+
────────────────────────────────────────────────────────────────
1452+
[1] 2 3.2292 0.0000
1453+
[2] 3 1 0.1283 3.1008 0.9603 0.9603 241.6234 <1e-07
1454+
[3] 5 2 0.1017 0.0266 0.9685 0.0082 1.0456 0.3950
1455+
────────────────────────────────────────────────────────────────"""
14561456

14571457
ft2b = ftest(bigmod, mod, nullmod)
14581458
@test isnan(ft2b.pval[1])
14591459
@test ft2b.pval[2] ≈ 0.3949973540194818
14601460
@test ft2b.pval[3] ≈ 2.481215056713184e-8
14611461
@test sprint(show, ft2b) == """
14621462
F-test: 3 models fitted on 12 observations
1463-
─────────────────────────────────────────────────────────────────
1464-
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1465-
─────────────────────────────────────────────────────────────────
1466-
[1] 5 0.1017 0.9685
1467-
[2] 3 -2 0.1283 0.0266 0.9603 -0.0082 1.0456 0.3950
1468-
[3] 2 -1 3.2292 3.1008 0.0000 -0.9603 241.6234 <1e-07
1469-
─────────────────────────────────────────────────────────────────"""
1463+
────────────────────────────────────────────────────────────────
1464+
DOF ΔDOF SSR ΔSSR R² ΔR² F* p(>F)
1465+
────────────────────────────────────────────────────────────────
1466+
[1] 5 0.1017 0.9685
1467+
[2] 3 2 0.1283 0.0266 0.9603 0.0082 1.0456 0.3950
1468+
[3] 2 1 3.2292 3.1008 0.0000 0.9603 241.6234 <1e-07
1469+
────────────────────────────────────────────────────────────────"""
14701470

14711471
@test_throws ArgumentError ftest(mod, bigmod, nullmod)
14721472
@test_throws ArgumentError ftest(nullmod, bigmod, mod)

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