Statistics Papers

Document Type

Journal Article

Date of this Version

2006

Publication Source

Journal of Economic and Social Measurement

Volume

31

Issue

1,2

Start Page

89

Last Page

102

Abstract

An honest confidence interval for the error variance in a stepwise regression is a one-sided interval that adjusts for the effects of variable selection. The endpoint of this interval may be many times larger than the usual endpoint. Such adjustments are most important when selecting variables from a large number of available predictors, particularly in situations with more available predictors than observations. An illustration using a regression model of stock market returns illustrates the calculations.

Keywords

Bonferroni inequality, model selection, selection bias

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Date Posted: 27 November 2017

This document has been peer reviewed.