Excel Notes - STEPWISE REGRESSION - STEPWISE REGRESSION...

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STEPWISE REGRESSION Begin by performing a normal multiple regression. If all variables are shown as significant (P-values < α ), then STOP -- the complete model is good. But if Significance F is low, but one or more of the p-values for the t- tests are high, forward stepwise regression can be used to develop the best model that contains some of the variables as follows. STEP 1. Do simple linear regressions of y vs. each x variable individually. Select the x variable with the lowest p-value. (Suppose it is X 3 .) Step 2: Do all possible 2-variable regressions in which one of the two variables is X 3 . If none of the 2-variable regressions gives low p-values for both X 3 and the other variable -- STOP -- use the model utilizing only X 3 . If one or more of the 2-variable models gives low p-values for both X 3 and the second variable, select the model with the lowest p-values. (Suppose it is the one with X 3 and X 5 .) --- GO TO STEP 3.
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Excel Notes - STEPWISE REGRESSION - STEPWISE REGRESSION...

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