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Information-Theoretic Measures of Fit for Univariate and Multivariate Linear Regressions

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Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 25)

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.

Key Words

Correlation Information theory Multiple regression Systems of Equations 

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References

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Copyright information

© Springer Science+Business Media Dordrecht 1992

Authors and Affiliations

  1. 1.University of FloridaGainesvilleUSA

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