How Many Variables Should Be Entered in a Regression Equation?
Generate an AI Snapshot to get a quick, structured summary of this paper.
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
TL;DR
The optimal number of regressors is determined to minimize mean squared prediction error and is shown to be a small fraction of the number of data points and the Sp criterion provides an asymptotically optimal rule for theNumber of variables to enter.
Abstract
Abstract The optimal number of regressors is determined to minimize mean squared prediction error and is shown to be a small fraction of the number of data points. As the number of regressors grows large, the Sp criterion provides an asymptotically optimal rule for the number of variables to enter. Key Words: RegressionStepwise regressionBest subsets regressionPrediction error