Criterion Mixing Lack of Fit and Multicolinearity for Variable Selection in Regression
AbstractWe describe in this paper a method allowing to order submodels in linear regression. A real function is attached to each submodel, allowing to graphically compare and order them. Our procedure defines an objective function depending on two factors (lack of fit and multicolinearity) with the property that the minimum of this function over subsets of the regressors determines the "best" such subset of variables. The latter will be found by systematically examining all possible subsets having at least two regressors. The method is built in such a way that it allows a graphical inspection of the submodels. Although it is presented here only in the framework of linear regression with a single, continuous, response variable, the procedure may be extended in a natural way to more general regression models. Simulation and implementation on various data sets gave very satisfying results
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 99.11.
Length: 15 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse
Phone: (+ 41 22) 705-8263
Fax: (+ 41 22) 705-8293
Web page: http://www.unige.ch/gsem/
More information through EDIRC
REGRESSION ANALYSIS ; ECONOMETRICS ; ECONOMIC MODELS;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.