In a regression analysis what cannot happen when a new independent variable is added?
Added by Martin R.
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When a new independent variable is added, the R-squared value of the regression model cannot decrease. Show more…
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When researchers conduct multiple regression analyses, they often measure each independent variable to determine if it brings additional explanatory value to the model over and above the explanatory value of the other independent variables. What data and/or tests could be used to determine whether or not an independent variable brings additional explanatory value to the regression model? Why might an independent variable be strongly correlated with the dependent variable when measured by itself but then offer no statistically significant explanatory value when tested in a multiple regression analysis?
Madhur L.
When we add a new independent variable to a multiple linear regression, what does a decrease in the Adjusted R-squared indicate? It indicates that there was an omitted variable bias before the inclusion of the new variable. It indicates that the new variable does not help to explain more of the variation in the dependent variable. It indicates that the new independent variable is negatively correlated to the dependent variable. It indicates that the new independent variable is statistically significant.
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