Model Selection and Regression t-Statistics

It is shown that dropping quantitative variables from a linear regression, based on t-statistics, is mathematically equivalent to dropping variables based on commonly used information criteria.

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Bibliographic Details
Published in:The American statistician 2018-10, Vol.72 (4), p.379-381
Main Authors: Derryberry, DeWayne, Aho, Ken, Edwards, John, Peterson, Teri
Format: Article
Language:English
Subjects:
Information criteria
Linear regression
Model selection
Regression analysis
Regression models
SHORT TECHNICAL NOTES
Statistical methods
Statistics
t-Statistics
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Description
Summary:It is shown that dropping quantitative variables from a linear regression, based on t-statistics, is mathematically equivalent to dropping variables based on commonly used information criteria.
ISSN:0003-1305
1537-2731
DOI:10.1080/00031305.2018.1459316