A Note on Screening Regression Equations
- 1 May 1983
- journal article
- research article
- Published by Taylor & Francis in The American Statistician
- Vol. 37 (2) , 152-155
- https://doi.org/10.1080/00031305.1983.10482729
Abstract
Consider developing a regression model in a context where substantive theory is weak. To focus on an extreme case, suppose that in fact there is no relationship between the dependent variable and the explanatory variables. Even so, if there are many explanatory variables, the R 2 will be high. If explanatory variables with small t statistics are dropped and the equation refitted, the R 2 will stay high and the overall F will become highly significant. This is demonstrated by simulation and by asymptotic calculation.Keywords
This publication has 3 references indexed in Scilit:
- On Energy Policy ModelsJournal of Business & Economic Statistics, 1983
- On the maximum difference between the empirical and expected histograms for sumsPacific Journal of Mathematics, 1982
- The Conditional Level of the F—TestJournal of the American Statistical Association, 1973