Abstract
For the purpose of measuring the relative importance of independent variables in a multiple regression, Kruskal (1987) proposed an averaging procedure over all possible orderings of these variables. The present article uses this suggestion, but it is based on a different measure, from statistical information theory, and it extends the result to systems of equations.
This article first appeared in The American Statistician, 42 (November 1988), 249–252. Reprinted with the permission of The American Statistical Association.
Henri Theil is McKethan-Matherly Eminent Scholar and Ching-Fan Chung is McKethan-Matherly Post-Doctoral Fellow, Graduate School of Business Administration, University of Florida, Gainesville, Florida 32611.
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© 1992 Springer Science+Business Media Dordrecht
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Theil, H., Chung, CF. (1992). Information-Theoretic Measures of Fit for Univariate and Multivariate Linear Regressions. In: Raj, B., Koerts, J. (eds) Henri Theil’s Contributions to Economics and Econometrics. Advanced Studies in Theoretical and Applied Econometrics, vol 25. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2408-9_22
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DOI: https://doi.org/10.1007/978-94-011-2408-9_22
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