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Properties of selected subset diagnostics in regression

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  • Jensen, D. R.

Abstract

Anomalies are cited in the use of subset regression diagnostics. Two leverage diagnostics are unified through canonical leverages. Other diagnostics relate one-to-one with the R-Fisher statistic, supporting exact but equivalent tests at level [alpha]. Three distance diagnostics exhibit ad hoc scalings; their distributions are characterized and ordering properties noted; one is studied further through simulation; and a properly scaled version is given. Case studies reexamine the use of selected subset diagnostics in practice.

Suggested Citation

  • Jensen, D. R., 2001. "Properties of selected subset diagnostics in regression," Statistics & Probability Letters, Elsevier, vol. 51(4), pages 377-388, February.
    • Handle: RePEc:eee:stapro:v:51:y:2001:i:4:p:377-388
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    References listed on IDEAS

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    1. Roy E. Welsch & Edwin Kuh, 1977. "Linear Regression Diagnostics," NBER Working Papers 0173, National Bureau of Economic Research, Inc.
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