# Normality: residuals or dependent variable?

So… something interesting happened the other day. As part of an unrelated set of circumstances, my super awesome BFF Ed and I were discussing one of those interesting, perennial misconceptions within methodology in the social sciences. OK, maybe in other areas as well but I can only speak about what I know best. The interesting aspect of this conversation is that it reflects the differences in training that he and I have so that, although we tend to see things from the same perspective, our solutions are sometimes different. You see, Ed is a full-blown mathematician who specializes in harmonic analysis but with a keen interest in urban ornithology as his more “applied” researcher side. Oh, and some psychometrics as well. I’m a psychometrician that’s mostly interested in technical problems but also flirts with the analysis of developmental data. This is going to play an important role in how we approached the answer to the following question:

In a traditional ANOVA setting (fixed effects, fully-balanced groups, etc.)… Does one test the normality assumption on the residuals or the dependent variable?

Ed’s answer (as well as my talkstats.com friends): On the residuals. ALWAYS.

My answer: Although the distributional assumptions for these models is on the residuals, for most designs found in education or social sciences it doesn’t really matter whether you use the residuals or the dependent variable.

Who is right, and who is wrong? The good thing about Mathematics (and Statistics as a branch of Mathematics) is that there’s only one answer. So either he is right or I am. Here are the two takes to the answer with a rationale.

Ed is right.

This is a simplified version of his answer that was also suggested on talkstats. Consider the following independent-groups t-test as shown in this snippet of R code. I’m assuming if you’re reading this you know that a t-test can be run as a linear regression.

 dv1 <- rnorm(1000, 10, 1) dv2 <- rnorm(1000, 0, 1) dv <- c(dv1, dv2) g <- as.factor(rep(c(1,0), each=1000))
 dat<-data.frame(dv,g)
 res <- as.data.frame(resid(lm(dv~g))) colnames(res)<-c("residual")

If you plot the dependent variable, it looks like this:

And if you plot the residuals, they look like this:

Clearly, the dependent variable is not normally distributed. It is bimodal, better described as a 50/50 Gaussian mixture if you wish. However, the residuals are very much bell-shaped and.. well, for lack of a better word, normally distributed. If we wanted to look at it more formally, we can conduct a Shapiro-Wilks test and see that it is not statistically significant.

 shapiro.test(res$residual) Shapiro-Wilk normality test data: res$residual W = 0.99901, p-value = 0.3432

So… yeah. Testing the dependent variable would’ve led someone to (erroneously) conclude that the assumption of normality was being violated and maybe this person would’ve ended up going down the rabbit hole of non-parametric regression methods… which are not bad per se, but I realize that for people with little training in statistics, these methods can be quite problematic to interpret. So Ed is right and I am wrong.

I am right.

When this example was put forward I pointed out to Ed (and other people involved in the discussion) to look at the assumption made regarding the population effect size. That’s a Cohen’s d of 10! Let’s see what happens when you run what’s considered a “large” effect size within the social sciences. Actually, let’s be very, very, VERY generous and jump straight from a Cohen’s d of 0.8 (large effect size) to a Cohen’s d of 1 (super large effect size?).

The plot of the dependent variable now looks like this:

And the residual plot looks like this:

Uhm… both the dependent variable and the residuals are looking very normal to me. What if we test them using the Shapiro-Wilks test?

shapiro.test(res$residual)  Shapiro-Wilk normality test  data: res$residual W = 0.99926, p-value = 0.6328

shapiro.test(dv)
Shapiro-Wilk normality test
 data: dv W = 0.99944, p-value = 0.8515

Yup, both are pretty normal-looking. So, in this case, whether you test the dependent variable or the residuals you end up with the same answer.

Just for kicks and giggles, I noticed that you needed a Cohen’s d of 2 before the Shapiro-Wilks test yielded a significant result, but you can see that the W statistics are quite similar between the previous case and this one.  And we’re talking about sample sizes of 2000. Heck, even the plot of the dependent variable is looking pretty bell-shaped

shapiro.test(dv)
Shapiro-Wilk normality test
 data: dv W = 0.99644, p-value = 8.008e-07

This is why I, in my response, I included the addendum of for most designs found in education or social sciences it doesn’t really matter whether you use the residuals or the dependent variable. A Cohen’s d of 2 is two-and-a-half units larger than what’s considered a large effect size in my field. If I were to see such a large effect size, I’d probably think something funky going on with the data than actually believing that such a large difference can be found. Ed, comes from a natural science background. And I know that, in the natural sciences, large effect sizes are pretty common-place (in my opinion it comes down to the problem of measurement that we face in the social sciences).

As you can see now, the degree of agreement between the normality tests of the dependent variable and the residuals is a function of the effect size. The larger the effect size, the larger the difference between the shapes of the distributions of the residuals VS the dependent variable (within this context, of course. This is not true in general).

Strictly speaking, Ed and the talkstats team are right in the sense that you can never go wrong with testing the residuals. Which is what I pointed out in the beginning as well. My applied research experience, however, has made me more practical and I realize that, in most cases, it doesn’t really matter. And at a certain sample size, the normality assumption is just so irrelevant that even testing it may be unnecessary. But anyway, some food for thought right there 😉

# Lawley’s test for equality of correlations

So… while I kept on cleaning computer files I found something pretty interesting. A “secret” (as in “I-didn’t-remember-where-it-was” kind of secret) folder where I kept all my attempts at a Master’s thesis. Apparently, I went through 11 different projects which I left at various unfinished stages. But there was one that just draw me back in because it was… well… kind of pointless?

For some reason that I can’t quite remember, I thought it would be a good idea to investigate the properties of Lawley’s test for the equality of correlations in a correlation matrix.  So the null hypothesis of this test kind of looks like this:

I have absolutely no idea why I thought this was a good idea. I’m thinking it may have been back in the days where I was not as proficient in Structural Equation Modelling (SEM) so I’d dwell in my mathematical training to accomplish things that can be trivially set up as SEMs. Following on my poorly-documented code and meager notes, it seems like I thought I could tweak the test to see whether or not the assumption of Parallel Tests or Tau-Equivalent Tests could be evaluated. You know, to make sure people would know whether their Cronbach’s alpha was a true estimate of reliability or just a lower bound. Little did I know at that point that people just use alpha whether the assumptions behind it hold or not. The truth is nobody really cares.

The one thing I remember is that I couldn’t find any R package that would run the test. So I ended up coding it myself. I’m not sure if this would be of any use to anyone, but I’m hoping this may save some time to someone out there who may need it for whatever reason.

So the R function you’d have to declare is:

 lawley <- function(data) {

 R <- cor(data) m <- cor(data) r <- nrow(m) c <- ncol(m) u <- c z <- lower.tri(c,diag = FALSE) u[z] <- 0 l <- c z1 <- upper.tri(c,diag = FALSE) l[z1] <- 0 p <- r n <- nrow(data) mcp <- 0*1:ncol(m) for (i in 1:ncol(m)) { mcp[i] <- (sum(m[,i])-1)/(ncol(m)-1) } # vector of average values of non-diagonal elements of each row lR <- R z2 <- upper.tri(R,diag = FALSE) lR[z2] <- 0 mc <- (2/(p*(p-1))) * sum(R-lR) TR <- R z3 <- upper.tri(R,diag = TRUE) TR[z3] <-0 A <- (TR - mc)^2 A[z3] <-0 A <- sum(A) B <- sum((mcp-mc)^2) C <- ((p-1)^2*(1-(1-mc)^2))/(p-((p-2)*(1-mc)^2)) X2 <- (((n-1)/((1-mc)^2))*(A-C*B)) v <- ((p+1)*(p-2))/2 P <- 1-pchisq(X2,v,ncp = 0, lower.tail = TRUE, log.p = FALSE) result <- rbind(c(X2, v, P)) dimnames(result) <- list(c("X2"), c("statistic", "df", "p.value")) 

print(result) }

And the way you use it is very simple. Let’s try it with a mock dataset we’ll generate in the R package lavaan. Here we’re generating data from a One Factor model with equal loadings of 0.3 and equal error variances:

 library(lavaan) set.seed(123)

 pop = 'f1 =~ 0.3*x1 + 0.3*x2 + 0.3*x3 + 0.3*x4 + 0.3*x5' dat = simulateData(model=pop, sample.nobs=500) 

lawley(dat) statistic df p.value X2 7.840194 9 0.5503277

So… yeah. Non-significant p-value (as per glorious alpha of .05) tells us that the null hypothesis is true and the population correlation matrix indeed has equal elements all around.

 library(lavaan) set.seed(123)

 pop = 'f1 =~ 0.4*x1 + 0.3*x2 + 0.3*x3 + 0.3*x4 + 0.3*x5' dat = simulateData(model=pop, sample.nobs=500) 

lawley(dat) statistic df p.value X2 18.78748 9 0.02706175

So the null hypothesis is now rejected because one of the loadings is different so there is one element of the covariance matrix that is not equal to every other element.

I literally have no clue why Lawley thought having such a test was a good idea. But then again I was investigating it a few years ago so maybe *I* thought the test was a good idea in the first place.

Anyhoo, I hope this helps someone if they need it.

# My love-hate relationship with G*Power

I can’t help but have a love-hate relationship with G*Power and power analysis as carried out in the social sciences. I love it because it provides applied researchers who may not have a strong statistical background with a (somewhat) sensible way to plan their sample sizes. I hate it because it reminds me that we still have a long, looong, LOOOOOONG way to go before we can even attempt to claim we are all following “best practices” in data analysis. And the fact of the matter is that we may never will.

Let me show you why.

Say we have the very simple scenario of calculating power for the easy-cheesy t-test of the Pearson correlation coefficient. We are going to be extra indulgent with ourselves and claim the population effect size is $\rho=0.5$ (so a LARGE effect size à la Cohen). If you plug in the usual specifications in G*Power (Type I error rate of .05, desired power of 0.8, population effect size of $\rho=0.5$ against the null of $\rho=0.0$) this is what we get:

So your sample size should be 26. Just for kicks an giggles, I simulated the power curve for this exact scenario and marked with a line where the 80% power would be located.

Same answer as with G*Power, somewhere a little over n=25. Pretty straightforward, right? Well… sure… if you’re comfortable with the assumption that your data is bivariate normal. Both in the R simulation I made and in G*Power, the software assumes that your data looks like this:

For even more kicking and giggling, let’s assume your data is NOT normal (which, as we know, is the more common case). In this particular instance, both variables are $\chi^{2}$-distributed with 1 degree of freedom (quite skewed). Each variable looks like this:

And their joint density (e.g. if you do a scatterplot), looks like that:

But here’s the catch… because of how I simulated them (through a Gaussian copula if you’re wondering), they both have the *same* population effect size of 0.5. What does the power curve look like in this case? It looks like this:

So that for the same large population effect size, you need a little over TWICE the sample size to obtain the same 80%.

You see where I’m going with this? Where’s the my-data-is-not-normal option in G*Power? Or my data-has-missing-values? Or my-data-has-measurement error? Or my data has all of those at once? Sure, I realize that this is a little bit of an extreme case because the sample size is not terribly large, the non-normality is severe and by the time n=100, the malicious influence of the non-normality has been “washed away” so to speak. The power curves look more and more similar as the sample size grows larger and larger. But it is still a reminder that every time I see people report their power analyses through G*Power my mind immediately goes to… “is this really power or a lower/upper bound to power?” And, moreover… if you go ahead, do your analyses and find your magic p-value under .05, you’re probably going to feel even *more* confident that your results are the real deal, right? I mean, you did your due diligence, you’re aware of the issues and you tried to address them the best way you could. And that’s exactly what kills me. Sometimes your best is just not good enough.

Solutions? Well… I dunno. Unless someone makes computer simulations mandatory in research methods classes, the only other option I have is usually to close my eyes and hope for the best.