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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
DOI: 10.2307/2287119
Stable URL: http://www.jstor.org/stable/2287119
Page Count: 6
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How Many Variables Should be Entered in a Regression Equation?
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Abstract

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.

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