# Effect Size from Test Statistics

Source:`vignettes/from_test_statistics.Rmd`

`from_test_statistics.Rmd`

## Introduction

In many real world applications there are no straightforward ways of
obtaining standardized effect sizes. However, it is possible to get
approximations of most of the effect size indices (\(d\), \(r\), \(\eta^2_p\)…) with the use of test
statistics. These conversions are based on the idea that **test
statistics are a function of effect size and sample size**. Thus
information about samples size (or more often of degrees of freedom) is
used to reverse-engineer indices of effect size from test statistics.
This idea and these functions also power our *Effect
Sizes From Test Statistics**shiny app*.

The measures discussed here are, in one way or another,
** signal to noise ratios**, with the “noise”
representing the unaccounted variance in the outcome variable

^{1}.

The indices are:

Percent variance explained (\(\eta^2_p\), \(\omega^2_p\), \(\epsilon^2_p\)).

Measure of association (\(r\)).

Measure of difference (\(d\)).

### (Partial) Percent Variance Explained

These measures represent the ratio of \(Signal^2 / (Signal^2 + Noise^2)\), with the “noise” having all other “signals” partial-ed out (be they of other fixed or random effects). The most popular of these indices is \(\eta^2_p\) (Eta; which is equivalent to \(R^2\)).

The conversion of the \(F\)- or \(t\)-statistic is based on Friedman (1982).

Let’s look at an example:

```
library(afex)
data(md_12.1)
aov_fit <- aov_car(rt ~ angle * noise + Error(id / (angle * noise)),
data = md_12.1,
anova_table = list(correction = "none", es = "pes")
)
aov_fit
```

```
> Anova Table (Type 3 tests)
>
> Response: rt
> Effect df MSE F pes p.value
> 1 angle 2, 18 3560.00 40.72 *** .819 <.001
> 2 noise 1, 9 8460.00 33.77 *** .790 <.001
> 3 angle:noise 2, 18 1160.00 45.31 *** .834 <.001
> ---
> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '+' 0.1 ' ' 1
```

Let’s compare the \(\eta^2_p\) (the
`pes`

column) obtained here with ones recovered from
`F_to_eta2()`

:

```
library(effectsize)
options(es.use_symbols = TRUE) # get nice symbols when printing! (On Windows, requires R >= 4.2.0)
F_to_eta2(
f = c(40.72, 33.77, 45.31),
df = c(2, 1, 2),
df_error = c(18, 9, 18)
)
```

```
> η² (partial) | 95% CI
> ---------------------------
> 0.82 | [0.66, 1.00]
> 0.79 | [0.49, 1.00]
> 0.83 | [0.69, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

**They are identical!**^{2} (except for the fact
that `F_to_eta2()`

also provides confidence intervals^{3} :)

In this case we were able to easily obtain the effect size (thanks to
`afex`

!), but in other cases it might not be as easy, and
using estimates based on test statistic offers a good approximation.

For example:

#### In Simple Effect and Contrast Analysis

```
library(emmeans)
joint_tests(aov_fit, by = "noise")
```

```
> noise = absent:
> model term df1 df2 F.ratio p.value
> angle 2 9 8.000 0.0096
>
> noise = present:
> model term df1 df2 F.ratio p.value
> angle 2 9 51.000 <.0001
```

```
> η² (partial) | 95% CI
> ---------------------------
> 0.64 | [0.18, 1.00]
> 0.92 | [0.78, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

We can also use `t_to_eta2()`

for contrast analysis:

```
> contrast estimate SE df t.ratio p.value
> X0 - X4 -108 17.4 9 -6.200 0.0004
> X0 - X8 -168 20.6 9 -8.200 0.0001
> X4 - X8 -60 18.4 9 -3.300 0.0244
>
> Results are averaged over the levels of: noise
> P value adjustment: tukey method for comparing a family of 3 estimates
```

```
> η² (partial) | 95% CI
> ---------------------------
> 0.81 | [0.54, 1.00]
> 0.88 | [0.70, 1.00]
> 0.53 | [0.11, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

#### In Linear Mixed Models

```
> Type III Analysis of Variance Table with Satterthwaite's method
> Sum Sq Mean Sq NumDF DenDF F value Pr(>F)
> Days 30031 30031 1 17 45.9 3.3e-06 ***
> ---
> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
```

`F_to_eta2(45.9, 1, 17)`

```
> η² (partial) | 95% CI
> ---------------------------
> 0.73 | [0.51, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

We can also use `t_to_eta2()`

for the slope of
`Days`

(which in this case gives the same result).

`parameters::model_parameters(fit_lmm, effects = "fixed", ci_method = "satterthwaite")`

```
> # Fixed Effects
>
> Parameter | Coefficient | SE | 95% CI | t(17.00) | p
> -----------------------------------------------------------------------
> (Intercept) | 251.41 | 6.82 | [237.01, 265.80] | 36.84 | < .001
> Days | 10.47 | 1.55 | [ 7.21, 13.73] | 6.77 | < .001
```

```
>
> Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
> using a Wald t-distribution with Satterthwaite approximation.
```

`t_to_eta2(6.77, df_error = 17)`

```
> η² (partial) | 95% CI
> ---------------------------
> 0.73 | [0.51, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

#### Bias-Corrected Indices

Alongside \(\eta^2_p\) there are also the less biased \(\omega_p^2\) (Omega) and \(\epsilon^2_p\) (Epsilon; sometimes called \(\text{Adj. }\eta^2_p\), which is equivalent to \(R^2_{adj}\); Albers and Lakens (2018), Mordkoff (2019)).

`F_to_eta2(45.9, 1, 17)`

```
> η² (partial) | 95% CI
> ---------------------------
> 0.73 | [0.51, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

`F_to_epsilon2(45.9, 1, 17)`

```
> ε² (partial) | 95% CI
> ---------------------------
> 0.71 | [0.48, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

`F_to_omega2(45.9, 1, 17)`

```
> ω² (partial) | 95% CI
> ---------------------------
> 0.70 | [0.47, 1.00]
>
> - One-sided CIs: upper bound fixed at [1.00].
```

### Measure of Association

Similar to \(\eta^2_p\), \(r\) is a signal to noise ratio, and is in
fact equal to \(\sqrt{\eta^2_p}\) (so
it’s really a *partial* \(r\)).
It is often used instead of \(\eta^2_p\) when discussing the
*strength* of association (but I suspect people use it instead of
\(\eta^2_p\) because it gives a bigger
number, which looks better).

#### For Slopes

`parameters::model_parameters(fit_lmm, effects = "fixed", ci_method = "satterthwaite")`

```
> # Fixed Effects
>
> Parameter | Coefficient | SE | 95% CI | t(17.00) | p
> -----------------------------------------------------------------------
> (Intercept) | 251.41 | 6.82 | [237.01, 265.80] | 36.84 | < .001
> Days | 10.47 | 1.55 | [ 7.21, 13.73] | 6.77 | < .001
```

```
>
> Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
> using a Wald t-distribution with Satterthwaite approximation.
```

`t_to_r(6.77, df_error = 17)`

```
> r | 95% CI
> -------------------
> 0.85 | [0.67, 0.92]
```

In a fixed-effect linear model, this returns the
**partial** correlation. Compare:

```
fit_lm <- lm(rating ~ complaints + critical, data = attitude)
parameters::model_parameters(fit_lm)
```

```
> Parameter | Coefficient | SE | 95% CI | t(27) | p
> -------------------------------------------------------------------
> (Intercept) | 14.25 | 11.17 | [-8.67, 37.18] | 1.28 | 0.213
> complaints | 0.75 | 0.10 | [ 0.55, 0.96] | 7.46 | < .001
> critical | 1.91e-03 | 0.14 | [-0.28, 0.28] | 0.01 | 0.989
```

```
>
> Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
> using a Wald t-distribution approximation.
```

```
> r | 95% CI
> ------------------------
> 0.82 | [ 0.67, 0.89]
> 1.92e-03 | [-0.35, 0.35]
```

to:

```
correlation::correlation(attitude,
select = "rating",
select2 = c("complaints", "critical"),
partial = TRUE
)
```

```
> # Correlation Matrix (pearson-method)
>
> Parameter1 | Parameter2 | r | 95% CI | t(28) | p
> ----------------------------------------------------------------------
> rating | complaints | 0.82 | [ 0.65, 0.91] | 7.60 | < .001***
> rating | critical | 2.70e-03 | [-0.36, 0.36] | 0.01 | 0.989
>
> p-value adjustment method: Holm (1979)
> Observations: 30
```

#### In Contrast Analysis

This measure is also sometimes used in contrast analysis, where it is called the point bi-serial correlation - \(r_{pb}\) (Cohen et al. 1965; Rosnow, Rosenthal, and Rubin 2000):

```
> contrast estimate SE df t.ratio p.value
> X0 - X4 -108 17.4 9 -6.200 0.0004
> X0 - X8 -168 20.6 9 -8.200 0.0001
> X4 - X8 -60 18.4 9 -3.300 0.0244
>
> Results are averaged over the levels of: noise
> P value adjustment: tukey method for comparing a family of 3 estimates
```

```
> r | 95% CI
> ----------------------
> -0.90 | [-0.95, -0.67]
> -0.94 | [-0.97, -0.80]
> -0.73 | [-0.88, -0.23]
```

### Measures of Difference

These indices represent \(Signal/Noise\) with the “signal” representing the difference between two means. This is akin to Cohen’s \(d\), and is a close approximation when comparing two groups of equal size (Wolf 1986; Rosnow, Rosenthal, and Rubin 2000).

These can be useful in contrast analyses.

#### Between-Subject Contrasts

```
> contrast estimate SE df t.ratio p.value
> L - M 10.0 4 51 2.500 0.0400
> L - H 14.7 4 51 3.700 <.0001
> M - H 4.7 4 51 1.200 0.4600
>
> P value adjustment: tukey method for comparing a family of 3 estimates
```

```
> d | 95% CI
> --------------------
> 0.71 | [ 0.14, 1.27]
> 1.04 | [ 0.45, 1.62]
> 0.34 | [-0.22, 0.89]
```

However, these are merely approximations of a *true* Cohen’s
*d*. It is advised to directly estimate Cohen’s *d*,
whenever possible. For example, here with
`emmeans::eff_size()`

:

`eff_size(em_tension, sigma = sigma(m), edf = df.residual(m))`

```
> contrast effect.size SE df lower.CL upper.CL
> L - M 0.84 0.34 51 0.15 1.53
> L - H 1.24 0.36 51 0.53 1.95
> M - H 0.40 0.34 51 -0.28 1.07
>
> sigma used for effect sizes: 11.88
> Confidence level used: 0.95
```

#### Within-Subject Contrasts

```
> contrast estimate SE df t.ratio p.value
> X0 - X4 -108 17.4 9 -6.200 0.0004
> X0 - X8 -168 20.6 9 -8.200 0.0001
> X4 - X8 -60 18.4 9 -3.300 0.0244
>
> Results are averaged over the levels of: noise
> P value adjustment: tukey method for comparing a family of 3 estimates
```

```
> d | 95% CI
> ----------------------
> -2.07 | [-3.19, -0.91]
> -2.73 | [-4.12, -1.32]
> -1.10 | [-1.90, -0.26]
```

(Note set `paired = TRUE`

to not over estimate the size of
the effect; Rosenthal (1991); Rosnow, Rosenthal, and Rubin (2000))

## References

*Journal of Experimental Social Psychology*74: 187–95.

*Handbook of Clinical Psychology*, 95–121.

*Educational and Psychological Measurement*42 (2): 521–26.

*Advances in Methods and Practices in Psychological Science*2 (3): 228–32.

*Newbury Park, CA: Sage*10: 9781412984997.

*Psychological Science*11 (6): 446–53.

*Meta-Analysis: Quantitative Methods for Research Synthesis*. Vol. 59. Sage.