Fungible regression coefficients

Phil Ender
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Phil Ender: UCLA Stat Consulting

2024 Stata Conference from Stata Users Group

Abstract: Ordinary least-squares regression (OLS) estimates coefficients such that the residual sum of squares (RSS) is a minimum. Further, the R-squared between the response variable and the predictors is a maximum. The solution for these OLS coefficients is unique; that is, there is only one set of coefficients that minimizes the residuals. But what if we estimated coefficients that come within one percent (0.01) or less of the maximum value of R-squared. There can be multiple sets of coefficients that yield the same R-squared. These are the fungible regression coefficients (FRCs). How many different fungible regression coefficients are possible? What do these FRCs look like? Are these FRCs of any use whatsoever? This presentation will address these questions.

Date: 2024-08-04
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