Tests of significance in stepwise regression

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Abstract

Tests of significance of the sample squared multiple correlation (R-2) in stepwise multiple regression have not been possible because its distribution is unknown. The present study used Monte Carlo simulation and least squares smoothing to construct tables of the upper 95th and 99th percentage points of the sample R-2 distribution in forward selection. A survey of published psychological research that used stepwise regression found a substantial inflation of reported significance levels when compared to the tabled values. Recommendations are given for use of these tables in evaluating results from forward selection and other stepwise methods. (19 ref) (PsycINFO Database Record (c) 2006 APA, all rights reserved)

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