Date of this Version
Journal of Economic and Social Measurement
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.
Bonferroni inequality, model selection, selection bias
Foster, D. P., & Stine, R. A. (2006). Honest Confidence Intervals for the Error Variance in Stepwise Regression. Journal of Economic and Social Measurement, 31 (1,2), 89-102. Retrieved from https://repository.upenn.edu/statistics_papers/224
Date Posted: 27 November 2017
This document has been peer reviewed.