Abstract:
A Simulation study was conducted, to compare a number of univariate variable selection criteria that are available in either SAS or SPSS, in terms of their ability to select the "true" regression model for different sample sizes, intercorrelations, and interacorrelations. The results suggest that the ability of all procedures to identify the "true" model is less than 19%, and that sample size, intercorrelations, and interacorrrelations have no significant effect. The study also shows that all criteria are more likely to overfit by at least two variables, than to select the "true" model or underfit.
Page(s):
65-81
DOI:
DOI not available
Published:
Journal: Pakistan Journal of Statistics, Volume: 23, Issue: 1, Year: 2007