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Coefficients of determinations for variable selection in the msae regression |
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| Authors: | Carmen D.S. André Silvia N. Elian Subhash C. Narula Rodrigo A. Tavares |
| Affiliation: | 1. School of Business , Institute of Mathematics and Statistics University of Sao Paulo , Rua do Matao 1010, CP 66281-AG Cidade de Sao Paulo, CEP 05315-970, Sao Paulo, Brazil;2. School of Business , Virginia Commonwealth University , Richmond, Virginia, 23284-4000, USA;3. School of Business , institute of Mathematics and Statistics University of Sao Paulo , Rua do Matao 1010, CP 66281-AG Cidade de Sao Paulo, CEP 05315-970, Sao Paulo, Brazil |
| Abstract: | Our objective is to modify a robust coefficient of determination for the minimum sum of absolute errors MSAE regression proposed by McKean and Sievers (1987) so that it satisfies all the desirable properties. We also propose an adjusted coefficient of determination that is appropriate for comparing several models with different number of variables. Further, it has the property that if it decreases with the addition of predictor variables to the model, then the contribution of these variables is statistically non-significant. We illustrate the results with an example. |
| Keywords: | adjusted coefficient of determination L1 regression least absolute errors regression selection of variables subset selection |