The model that was fitted to the data (HCHOL = b₀ + b₁ CHOL + b₂ BMI ) forces the effects to be additive, that is, the effect of CHOL is the same for all values of BMI and vice-versa because the model won't let it be anything else. While this condition might seem restrictive, experience shows that it is a satisfactory description of many data sets. (I'd guess it depends on your area of application.)

Even if additivity is appropriate for many situations, there are times when it does not apply. Sometimes, the purpose of a study is to formally test whether additivity holds. Perhaps the way HDL cholesterol varies with BMI depends on total cholesterol. One way to investigate this is by including an interaction term in the model. Let BMICHOL=BMI*CHOL, the product of BMI and CHOL. The model incorporating the interaction is

It can be rewritten two ways to show how the change in response with one variable depends on the other.

(1) Y = b₀ + b₁ X + (b₂ + b₃ X) Z
(2) Y = b₀ + b₂ Z + (b₁ + b₃ Z) X

Expression (1) shows the difference in Y per unit difference in Z when X is held fixed is (b₂+b₃X). This varies with the value of X. Expression (2) shows the difference in Y per unit difference in X when Z is held fixed is (b₁+b₃Z). This varies with the value of Z. The coefficient b₃ measures the amount by which the change in response with one predictor is affected by the other predictor. If b₃ is not statistically significant, then the data have not demonstrated the change in response with one predictor depends on the value of the other predictor. In the HCHOL, COL, BMI example, the model

HCHOL = -24.990 + 0.498 CHOL + (2.459 - 0.019 CHOL) BMI or
HCHOL = -24.990 + 2.459 BMI + (0.498 - 0.019 BMI) CHOL

Comment: Great care must be exercised when interpreting the coefficients of individual variables in the presence of interactions. The coefficient of BMI is 2.459. In the absence of an interaction, this would be interpreted as saying that among those with a given total cholesterol level, those with greater BMIs are expected to have greater HDL levels! However, once the interaction is taken into account, the coefficient for BMI is, in fact, (2.459-0.019 CHOL), which is negative provided total cholesterol is greater than 129, which is true of all but 3 subjects.

Comment: The inclusion of interactions when the study was not specifically designed to assess them can make it difficult to estimate the other effects in the model. If

• a study was not specifically designed to assess interactions,
• there is no a priori reason to expect an interaction,
• interactions are being assessed "for insurance" because modern statistical software makes it easy, and
• no interaction is found,

• a study was not specifically designed to assess interactions,
• there is no a priori reason to expect an interaction,
• interactions are being assessed "for insurance" because modern statistical software makes it easy, and
• no interaction is found,

Interactions have a special interpretation when one of the predictors is a categorical variable with two categories. Consider an example in which the response Y is predicted from a continuous predictor X and indicator of sex (M0F1, =0 for males and 1 for females). The model

Y = b₀ + b₁ X + b₂ M0F1

specifies two simple linear regression equations. For men, M0F1=0 and

The change in Y per unit change in X--b₁--is the same for men and women. The model forces the regression lines to be parallel. The difference between men and women is the same for all values of X and is equal to b₂, the difference in Y-intercepts.

Including a sex-by-X interaction term in the model allows the regression lines for men and women to have different slopes.

Y = b₀ + b₁ X + b₂ M0F1 + b₃ X * M0F1

For men, the model reduces to Y = b₀ + b₁ X
while for women, it is Y = (b₀ + b₂) + (b₁ + b₃) X

Thus, b₃ is the difference in slopes. The slopes for men and women will have been shown to differ if and only if b₃ is statistically significant.

The individual regression equations for men and women obtained from the multiple regression equation with a sex-by-X interaction are identical to the equations that are obtained by fitting a simple linear regression of Y on X for men and women separately. The advantage of the multiple regression approach is that it simplifies the task of testing whether the regression coefficients for X differ between men and women.

Comment: A common mistake is to compare two groups by fitting separate regression models and declaring them different if the regression coefficient is statistically significant in one group and not the other. it may be the two regression coefficients are similar with P values close to and on either side of 0.05. In order to show men and women response differently to a change in the continuous predictor, the multiple regression approach must be used and the difference in regression coefficients as measured by the sex-by-X interaction must be tested formally.

Centering refers to the practice of subtracting a constant from predictors before fitting a regression model. Often the constant is a mean, but it can be any value.

There are two reasons to center. One is technical. The numerical routines that fit the model are often more accurate when variables are centered. Some computer programs automatically center variables and transform the model back to the original variables, all without the user's knowledge.

The second reason is practical. The coefficients from a centered model are often easier to interpret. Consider the model that predicts HDL cholesterol from BMI and total cholesterol and a centered version fitted by subtracting 22.5 from each BMI and 215 from each total cholesterol.

In the original model

• -24.990 is the expected HDL cholesterol level for someone with total cholesterol and BMI of 0,
• 0.498 is the difference in HDL cholesterol corresponding to a unit difference in total cholesterol for someone with a BMI of 0, and
• 2.459 is the difference in HDL cholesterol corresponding to a unit difference in BMI for someone with a total cholesterol of 0.

• 47.555 is the expected HDL cholesterol level for someone with total a cholesterol of 215 and a BMI of 22.5,
• 0.080 is the difference in HDL cholesterol corresponding to a unit difference in total cholesterol for someone with a BMI of 22.5, and
• -1.537 is the difference in HDL cholesterol corresponding to a unit difference in BMI for someone with a total cholesterol of 215.

When there is an interaction in the model,

• the coefficients for the individual uncentered variables are the differences in response corresponding to a unit change in the predictor when the other predictors are 0, while
• the coefficients for the individual centered variables are the differences in response corresponding to a unit change in the predictor when the other predictors are at their centered values.