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How Many Variables Should be Entered in a Regression Equation?
L. Breiman and D. Freedman
Journal of the American Statistical Association
Vol. 78, No. 381 (Mar., 1983), pp. 131-136
Stable URL: http://www.jstor.org/stable/2287119
Page Count: 6
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The optimal number of regressors is determined to minimize mean squared prediction error and is shown to be a small fraction of the number of data points. As the number of regressors grows large, the Sp criterion provides an asymptotically optimal rule for the number of variables to enter.
Journal of the American Statistical Association © 1983 American Statistical Association