2017
DOI: 10.15807/jorsj.60.321
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Best Subset Selection for Eliminating Multicollinearity

Abstract: This paper proposes a method for eliminating multicollinearity from linear regression models. Specifically, we select the best subset of explanatory variables subject to the upper bound on the condition number of the correlation matrix of selected variables. We first develop a cutting plane algorithm that, to approximate the condition number constraint, iteratively appends valid inequalities to the mixed integer quadratic optimization problem. We also devise a mixed integer semidefinite optimization formulatio… Show more

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Cited by 33 publications
(21 citation statements)
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“…We will also consider modifying our heuristic algorithm to improve the accuracy of the tangent-plane-based approximation. Additionally, MIO approaches to eliminating multicollinearity have been studied in recent years [6], [24], [25], so such methods could be incorporated in our MILO formulation to reduce adverse effects of multicollinearity on the ordered logit model.…”
Section: Resultsmentioning
confidence: 99%
“…We will also consider modifying our heuristic algorithm to improve the accuracy of the tangent-plane-based approximation. Additionally, MIO approaches to eliminating multicollinearity have been studied in recent years [6], [24], [25], so such methods could be incorporated in our MILO formulation to reduce adverse effects of multicollinearity on the ordered logit model.…”
Section: Resultsmentioning
confidence: 99%
“…Variables with the strongest covariate relationship were removed from the dataset, strongest first, in an iterative stepwise process, whilst retaining the variables with the strongest univariate relationship with the response variable. To minimise this intercorrelation and prevent masking of trends whilst modelling, data were split into four sub-sets based on the stepwise reduction ( Zuur, Ieno & Elphick, 2010 ; Tamura et al, 2017 ). These four sub-sets were modelled separately to keep variables with strong covariate relationships apart (see Table 2 for the list of variables in each GLM).…”
Section: Methodsmentioning
confidence: 99%
“…For many decades, this approach to regression model building has been extensively used in statistics and econometrics as an appropriate trade-off between time expenditures and model performance [101][102][103]. Nowadays, a stepwise regression model building commonly employs the best subsets approach (BSA) that allows evaluating all possible regression models for a given set of regressors in a timely-effective and accurate manner [104][105][106].…”
Section: Stagementioning
confidence: 99%