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multi variate regression
how easy (and quick) is it to run a mult-variate regression with one dependent and 100 independents? where can this be done (matlab?)thankst
multi variate regression
If this is for a financial or an economic application, and if you have 100 idep var, you are probably doing something wrong (unless you've got panel data). It is easy in matlab: inv(X'*X)*X'Y. X is matrix of indep vars, Y is a vector of dep vars.
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- bostonquant
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multi variate regression
When you overfit a model you are adding terms that contribute little, hence you are adding variance as compared to the simpler reduced model. There is no way you will have 100 significant independent variables. The bond market can be explained with a handful of regressors and the equity market with depending upon what you are doing over 10.Look at MSE with the full model and look at MSE with a "reduced model" and you will see what I am saying. Stepwise and backward/forward tecniques don't always give the best results either so be careful.