15 views

Uploaded by James Jiang

- TEACHERS PERFORMANCE MANAGEMENT SYSTEM AT ISOMORPHIC HIGHER EDUCATIONAL INSTITUTIONS.
- An application of the modified Holmberg–Persson
- Simple Linear Regression
- Quality of Higher Education in Public and Private Universities in Bangladesh_Submission
- Correlation and Regression Measuring and Predicting Relationships
- rbf-intro.pdf
- v67b05.pdf
- 2.12_Characterizing+Cycles+描述周期性
- MANAGEMENT OF ORGANIZATIONAL LEARNING TO ENHANCE ORGANIZATIONAL COMPETENCIES DEVELOPMENT IN MANUFACTURING INDUSTRIES
- Output Baru
- Mar27 Syntax
- Nonlinear Regression - MATLAB
- [IJETA-V4I6P9]:Jigar V. Pandya, Dr.Vikram M. Patel
- File English
- 336 Final Notes
- Effect of the Learning Support and the Use of Project Management Tools
- About the MS Regress Package
- Multiple Regression
- Big-Data-WP
- Multavariate Explanation

You are on page 1of 15

1-15

Regression Model

Y 0 1 X

Yii b0 b1 X i e i

e4

e2

e1

e3

Yi b0 b1 X i

X

2-15

3-15

4-15

One way to reduce the bias associated with MSE is to impose a penalty on the degrees of

freedom, k. The s2 measure is an unbiased estimate of the MSE because it corrects for

degrees of freedom as follows:

T

s2

5-15

2

e

t

t=1

T-k

6-15

7-15

8-15

Evaluating Consistency

Consistency is a key property that is used to compare different selection criteria. Two conditions are

required for a model selection criteria to be considered consistent based on whether the true model is

included among the regression models being considered.

When the true model or data-generating process (DGP) is one of the defined regression models,

then the probability of selecting the true model approaches one as the sample size increases.

When the true model is not one of the defined regression models being considered, then the

probability of selecting the best approximation model approaches one as the sample size

increases.

MSE does not penalize for degrees of freedom and therefore is not consistent. The unbiased MSE, s 2,

adjusts MSE for degrees of freedom, but the adjustment is too small for consistency. Figure 1

illustrated that AIC has a larger penalty factor than s2. However, with large sample sizes the AIC

tends to select models that have too many variables or parameters. This suggests that the penalty

factor for degrees of freedom is still not large enough. The most consistent selection criteria with the

greatest penalty factor for degrees of freedom is the SIC.

In conclusion, choosing the best forecasting model is an important task and we have discussed four

key selection criteria. Adjusting for the degrees of freedom is extremely important and the SIC is the

best selection criteria because it is consistent and also has the highest penalty factor. The AIC is also

an important measure that is often considered in addition to SIC.

9-15

Example

1.

Which of the following statements best describes the effectiveness of the mean

squared error (MSE) and R2 criteria in selecting the best out-of-sample model?

A.

R2 is the preferred criteria over MSE and will rank forecasting regression

models more effectively than MSE.

B.

MSE is the preferred criteria over R2 and will rank forecasting regression

models more effectively than R2.

C.

MSE is the preferred criteria over adjusted R2 and will rank forecasting

regression models more effectively than adjusted R2.

D.

Answer: D

MSE and R2 will rank forecasting models the same. Neither criteria adjusts for the

number of parameters and, therefore, both are based on similar measures of the sum of

squared residuals for the regression model.

10-15

Example

2.

is concerned about data mining and over-fitting the data. Which of the following

criteria provides the highest penalty factor based on degrees of freedom?

A.

B.

C.

D.

11-15

Example

3.

Which of the following statements does not accurately describe the mean squared

error (MSE) statistical measure?

A.

The regression model with the smallest MSE is also the model with the smallest

sum of squared residuals.

B.

Scaling the sum of squared residuals by 1 / T changes the ranking of the models

based on squared residuals.

C.

The residuals in the numerator of the MSE calculation are defined as the

difference between the actual value observed and the predicted value based on

the regression model.

D.

The best regression model based on minimizing the MSE will also be the one

that maximizes R2.

Answer: B

Scaling the sum of squared residuals by 1 / T in the MSE statistic does not change the

ranking of the models based on squared residuals. The rankings will be the same.

12-15

Example

4.

industry factors, company factors, and leading market indicators. She decides to choose

the model with the highest R2 measure because she knows this is a goodness- of-fit

measure for selecting regression models. Morgan chooses a model with a very large

number of parameters. How will Morgans supervisor, Jessica Bolt, most likely respond

to Morgans choice of models? Bolt will:

A.

B.

R2 is the same as minimizing MSE.

C.

disagree with Morgan because MSE is a better measure than R2 for selecting

forecasting models.

D.

Answer: D

The model selected by Morgan is at greater risk of over-fitting the in-sample data. It is

important to adjust for the number of variables or parameters used in a regression model. The best

model should be selected based on the smallest unbiased MSE, or s2.

13-15

Example

5.

When selecting the best forecasting model among possible regression models, the

property of consistency is desired. Which of the following statements most accurately

describes a required condition for a model to be considered consistent?

A.

When the true model is one of the defined regression models under consideration,

then the probability of selecting the best approximation model approaches one with

a very large sample size.

B.

When the true model is one of the defined regression models under consideration,

then the probability of selecting the true model approaches one with a very small

sample size.

C.

When the true model is not one of the defined regression models being considered,

then the probability of selecting the best approximation model approaches one as the

sample size increases.

D.

When the true model is not one of the defined regression models being considered,

the choice of the model selected is irrelevant and cannot be determined.

14-15

FRM

15-15

- TEACHERS PERFORMANCE MANAGEMENT SYSTEM AT ISOMORPHIC HIGHER EDUCATIONAL INSTITUTIONS.Uploaded byIJAR Journal
- An application of the modified Holmberg–PerssonUploaded byManuel Durant Rodriguez
- Simple Linear RegressionUploaded byHicham Tou Nsi
- Quality of Higher Education in Public and Private Universities in Bangladesh_SubmissionUploaded byKhondaker Sazzadul Karim
- Correlation and Regression Measuring and Predicting RelationshipsUploaded byDr Rushen Singh
- rbf-intro.pdfUploaded byBruno Turetto Rodrigues
- v67b05.pdfUploaded byDawsonn-andoh Steve
- 2.12_Characterizing+Cycles+描述周期性Uploaded byJames Jiang
- MANAGEMENT OF ORGANIZATIONAL LEARNING TO ENHANCE ORGANIZATIONAL COMPETENCIES DEVELOPMENT IN MANUFACTURING INDUSTRIESUploaded byImpact Journals
- Output BaruUploaded bynoviakus
- Mar27 SyntaxUploaded byAzrul Fazwan
- Nonlinear Regression - MATLABUploaded byHenrique Nogueira Silva
- [IJETA-V4I6P9]:Jigar V. Pandya, Dr.Vikram M. PatelUploaded byIJETA - EighthSenseGroup
- File EnglishUploaded byAnonymous dgqSQ8yZI
- 336 Final NotesUploaded byTiana Low
- Effect of the Learning Support and the Use of Project Management ToolsUploaded byAlexander Decker
- About the MS Regress PackageUploaded bygliptak
- Multiple RegressionUploaded byrikar jehadun
- Big-Data-WPUploaded byDiemisom Melo
- Multavariate ExplanationUploaded byStacie Simmons
- Chapter 8 SolutionUploaded byRonel Mendoza
- CRD RBD Factorial FRBD Split SPD Design AnalysisUploaded bySangita
- Tariq Project Report-24!06!2011Uploaded byAli Haider
- Optimization of ultrasound-assisted extraction ofglycyrrhizic acid from licorice using responsesurface methodologyUploaded byErica Resende
- KFS2312 Topic 10(1t)Uploaded byHartini Rahman
- Lecture Notes on Measurement ErrorUploaded bykeyyongpark
- 33e5d5f3352da4bbb8d74924dd896000_salary-data-.xlsxUploaded byюрий локтионов
- SPE 30316 - PVT Correlations for Heavy and Extra Heavy Oils.pdfUploaded byLuis Alberto Izarra
- least_sqUploaded byXaid Ibrahim
- 10120130406019Uploaded byIAEME Publication

- 2.14_Estimating+Volatilities+and+Correlations+估计波动率和相关系数Uploaded byJames Jiang
- 2.7_Regression+with+a+Single+Regressor+Hypothesis+Tests..一元回归：假设检验与置信区间Uploaded byJames Jiang
- 2.15_Simulation+Modeling+模拟建模Uploaded byJames Jiang
- 2.2_Basic+Statistics+基本统计Uploaded byJames Jiang
- 2.12_Characterizing+Cycles+描述周期性Uploaded byJames Jiang
- 1.9_Financial+Disasters+金融灾难Uploaded byJames Jiang
- 2.5_Hypothesis+Testing+and+Confidence+Intervals+假设检验和置信区间Uploaded byJames Jiang
- 2.9_Hypothesis+Tests+and+Confidence+Intervals...多元回归中的假设检验与置信区间Uploaded byJames Jiang
- 2.6_Linear+Regression+with+One+Regressor+一元线性回归Uploaded byJames Jiang
- 2.3_Distributions+分布Uploaded byJames Jiang
- 2.8_Linear+Regression+with+Multiple+Regressors+多元线性回归Uploaded byJames Jiang
- 2.1_Probabilities+概率Uploaded byJames Jiang
- 2.13_Modeling+Cycles%3A+MA%2C+AR%2C+and+ARMA+Models+建模周期：MA%2C+AR%2C+和ARMA+模型Uploaded byJames Jiang
- 2.4_Bayesian+Analysis+贝叶斯分析.pdfUploaded byJames Jiang
- 2.10_Correlations+and+Copulas+相关性和连接函数Uploaded byJames Jiang
- 9e Financial Calculator ReferenceUploaded bykhopdi_number1
- 1.6_Corporate+Governance+and+Risk+Management+公司治理与风险管理Uploaded byJames Jiang
- 7EUploaded byJames Jiang
- 1.5_Corporate+Risk+Management%3A+A+Primer+公司风险管理：入门知识Uploaded byJames Jiang
- 1.2_The+Time+Value+of+Money+and+Financial+Calculator..货币时间价值与金融计算器使用+（前导课程）Uploaded byJames Jiang
- 1.2_The+Time+Value+of+Money+and+Financial+Calculator..货币时间价值与金融计算器使用+（前导课程）Uploaded byJames Jiang
- TIBAIIPlus.pdfUploaded byJames Jiang
- Lecture 6Uploaded byHaris Khan
- 1.8_Implementing+Robust+Risk+Appetite+Frameworks...实施稳健的风险偏好架构，强化金融机构的经营Uploaded byJames Jiang
- 1.3_Risk+Taking+A+Corporate+Governance+Perspective+风险承担%3A公司治理的角度+%282015考纲本节删除，选修%29Uploaded byJames Jiang
- 1.3_Risk+Taking+A+Corporate+Governance+Perspective+风险承担%3A公司治理的角度+%282015考纲本节删除，选修%29Uploaded byJames Jiang
- 1.7_What+is+ERM？+什么是企业风险管理Uploaded byJames Jiang
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看Uploaded byJames Jiang
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看Uploaded byJames Jiang

- Mroz ReplicationUploaded byMateo Rivera
- SPSS Missing Value Analysis 7.5Uploaded byrajarajkumar543
- Exploring the BatteryXPRT 2014 for Android BenchmarkUploaded byPrincipled Technologies
- PSY 2003 Final ReviewUploaded byGabe Marquez
- Chap9Uploaded byvivekverma390
- [Report] Final Project of StatisticUploaded byDuy Tiến
- SPSS Advanced Models 12.0Uploaded byHasan
- Stat 255 Supplement 2011 FallUploaded bygoofbooter
- Uncertainty in Version 7 MetcalUploaded bylolo406
- Impact of Information and Communication (1)Uploaded byOnyiaChinboliChimaJude
- l Oretz 2005Uploaded byVan Anh Nguyen
- Introducing RUploaded byMubanga
- 5-The-Relationship-between-Shopping-Mall.pdfUploaded byMehar Sheikh
- Chi SquareUploaded byankisluck
- Exercise 1 FormulationUploaded byHarsha
- Section8_3Uploaded bysonti11
- Emirmahmutoglu-Köse-2011-Testing for Granger Causality in Heterogeneous Mixed PanelsUploaded byAnonymous KKNqAh
- Manual Unigraphics Nx - 03 Form FeaturesUploaded byjonyan
- Dimensions of Brand PersonalityUploaded byalfareas
- Enhanced Data Analysis Using SAS ODS Graphics and Statistical GraphicsUploaded byarijitroy
- Effect PliometrikUploaded byEli Wati
- 2 Basic ExperimentsUploaded byIshwar Chandra
- Ppt on Problem Identification and Hypothesis (1)Uploaded byKusum Bajaj
- 2000 423 41-49 An Chim Acta LD in clasical multivariate calibration models.pdfUploaded bycesaryvane
- Chap11 Chi SquareUploaded byRandy Vd
- Classification and Clustering in RUploaded byturbo_tori
- Output PoloUploaded byTazkia Afida
- 3. Production Process CharacterizationUploaded byjojo0a
- ASQ POCKET BOOK FOR SIX SIGMA BLACK BELT STATICS.pdfUploaded bybalu
- ANOVA with post-hoc Tukey HSD Test Calculator with Scheffé and Bonferroni multiple comparison - Results.pdfUploaded byMichael Adams