--- title: "Correlation, R², and Causation" output: html_document: default pdf_document: default --- ```{r setup, include=FALSE} knitr::opts_chunk$set(echo = TRUE, message=FALSE) ``` ## Even with valid assumptions, regression doesn't prove causation Suppose you have checked your linear-regression assumptions (linearity, normal residuals, independence), and they hold. Suppose you reject the hypothesis $a_1 = 0$. It is still **not** necessarily the case that $x_1$ influences $y$ in a causal way. This is "correlation does not imply causation." We have used this phrase informally — let's go through the alternatives explicitly. ### 1. Reverse causation The data looks like: ``` y | / | / | / | / | / +--------------- x ``` You drew a line through the data, estimated $\hat y = a_0 + a_1 x$ with $a_1 > 0$, and rejected $a_1 = 0$. Now, you should resist saying "x causes y." It might be that **y is causing x**. Worked example: life expectancy and GDP per capita. The story we told was: if you're richer, you have more money, you spend more on health care, so life expectancy is higher. That is causal: GDP → life expectancy. But the story could go the other way. Maybe if you know you live longer, you work harder at your job, and therefore GDP is higher. That is: life expectancy → GDP. From the data alone you cannot tell. ### 2. Common cause It might be that neither $x$ causes $y$ nor $y$ causes $x$, but a third variable causes both. For life expectancy and GDP per capita, what is a common cause? Let's make something up. - **Pleasant climate.** Year-round nice weather: not too much tropical disease in summer, not freezing in winter. That probably increases life expectancy. And you can be outside working all year round, exercise more — probably positive effect on GDP per capita too. (Doesn't really hold in the real world, but you could imagine it.) - **A plague.** When there is an epidemic, life expectancy goes down. And GDP per capita goes down because people are sick. Same direction for both, common cause: the epidemic. ### 3. Indirect causation There might be a causal chain, but it is very indirect. For example: GDP per capita correlates with being a member of the World Health Organization (which costs a country some dues), and being a WHO member gives access to programs that improve health. The causal effect of GDP on life expectancy is real but routed through a long path; you wouldn't read it off the slope of the line. ### 4. Coincidence Sometimes correlation is just a coincidence. The classic meme example: ``` Pirates vs Global average temperature: positively related. ``` The number of pirates has decreased over the centuries; global temperatures have increased. Plot one against the other and you get a positive correlation. Arguably a coincidence. Or it might be a **Type I error**: with a 5% threshold, you reject inappropriately 5% of the time. If you tested 20 random pairs of variables, on average you'd find one "correlation" that is just luck. ## R² and correlation Informally we said "correlation does not imply causation." Technically we have not defined correlation yet, except to say it is "kind of like a line that goes through the data." Here is one way to define correlation. Let's say you're trying to predict $y$ from $x$. The simplest thing you can do is predict the average value every time: $\hat y = \bar y$. The next simplest is linear regression: $\hat y = a_0 + a_1 x$. **R²** is basically a comparison between how well you can do if you just predict the average every time vs how well you can do with linear regression. Let's compute the sum of squared errors for both: - $\text{SSE}_{\text{model}} = \sum_i (y_i - \hat y_i)^2$ where $\hat y_i$ is the regression prediction. - $\text{SSE}_{\text{baseline}} = \sum_i (y_i - \bar y)^2$ — predicting the average every time. Define: $$R^2 = 1 - \frac{\text{SSE}_{\text{model}}}{\text{SSE}_{\text{baseline}}}.$$ This ratio is always positive (well, $0 \le R^2 \le 1$ when the model is at least as good as the baseline), because you can always set $a_1 = 0$ and recover the baseline. If $R^2$ is close to 1, the model is much better than the baseline → strong linear trend. If $R^2$ is close to 0, the model is no better than the baseline → no linear trend. In R, calling `summary()` on an `lm` fit prints the full regression summary. The $R^2$ appears near the bottom on the line beginning with **Multiple R-squared**. ```{r message=FALSE} library(gapminder) library(dplyr) gap_1982 <- gapminder %>% filter(year == 1982) model <- lm(log(lifeExp) ~ log(gdpPercap), data = gap_1982) summary(model) ``` Look at the **Multiple R-squared** line above — that is the $R^2$ for this fit. You can also pull it out programmatically: ```{r} summary(model)$r.squared ``` ### Correlation $r$ If $y$ is being predicted from a single $x$, the correlation $r$ is the **signed square root of $R^2$**. The sign matches the sign of $a_1$: positive if the trend is upward, negative if downward. So "$r$ close to ±1" means strong linear relationship; "$r$ close to 0" means no linear trend. ## Anscombe's quartet A famous warning about R² (and correlation). There are four data sets, all with the **same** $r \approx 0.816$: ```{r} data(anscombe) par(mfrow = c(2, 2)) plot(anscombe$x1, anscombe$y1, main = "Set 1"); abline(lm(y1 ~ x1, data = anscombe)) plot(anscombe$x2, anscombe$y2, main = "Set 2"); abline(lm(y2 ~ x2, data = anscombe)) plot(anscombe$x3, anscombe$y3, main = "Set 3"); abline(lm(y3 ~ x3, data = anscombe)) plot(anscombe$x4, anscombe$y4, main = "Set 4"); abline(lm(y4 ~ x4, data = anscombe)) par(mfrow = c(1, 1)) ``` They look completely different. - **Set 1.** A genuine linear-ish trend with noise. You actually want to run a linear regression. - **Set 2.** A clear upward trend, but it is a parabola, not a line. You measured the parabola on a part where it looks linear. - **Set 3.** A weak upward trend that is mostly driven by one outlier. R² is way overestimated by the outlier. - **Set 4.** $y$ is essentially constant, except for one outlier with a different $x$. There is no actual linear relationship at all. A large correlation could be all of those things. **Always visualize.** A small correlation also doesn't really tell you much by itself: there could be a strong non-linear relationship that the linear $r$ doesn't capture. ## A "low correlation" example Here's one floating around Twitter that the lecturer brought up: $r = 0.23$, but the points are essentially a featureless cloud. You would not say there is a "weak linear relationship" — the picture says there is no relationship. The take-away: $r$ is a number computed from a formula. The formula returns a number even when the picture says "no signal." Look at the picture. ## The workflow Summary of how to do regression carefully: 1. **Formulate a null hypothesis.** 2. **Collect some data.** 3. **Visualize the data** to check the model assumptions. 4. **If assumptions are approximately satisfied**, run the regression. 5. **Run diagnostic plots.** Check normality of residuals, residuals vs fitted, scale-location, residuals vs leverage. 6. **Read the table.** Be aware that p-values from a table with many coefficients are vulnerable to multiple-comparisons issues. 7. **Don't conclude causation just because you reject the null on a coefficient.** Ask about reverse causation, common cause, indirect causation, coincidence. 8. **Report transparently.** Specify your hypothesis, your model, your assumptions, your diagnostics. If you do all of that, you can say something like: "We rejected the null that $a_1 = 0$ at the 5% level; consistent with a positive association between $x$ and $y$; we cannot rule out reverse causation or confounding."