Estimating the Residual Variance in Orthogonal Regression with Variable Selection
- 1 January 1991
- journal article
- Published by JSTOR in Journal of the Royal Statistical Society: Series D (The Statistician)
- Vol. 40 (1) , 51
- https://doi.org/10.2307/2348223
Abstract
The residual mean square in multiple regression after empirical variable selection (e.g. stepwise regression) is biased downwards, sometimes substantially so. T...Keywords
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