Point Estimates and Confidence Intervals for Variable Importance in Multiple Linear Regression

D. Roland Thomas, PengCheng Zhu and Yves J. Decady

Journal of Educational and Behavioral Statistics, 2007, vol. 32, issue 1, 61-91

Abstract: The topic of variable importance in linear regression is reviewed, and a measure first justified theoretically by Pratt (1987) is examined in detail. Asymptotic variance estimates are used to construct individual and simultaneous confidence intervals for these importance measures. A simulation study of their coverage properties is reported, and an example is provided.

Keywords: Keywords: relative importance; normalized Pratt measures; asymptotic variances; Bonferroni intervals; simultaneous confidence intervals (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:sae:jedbes:v:32:y:2007:i:1:p:61-91

DOI: 10.3102/1076998606298037

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