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

Carleton University

Yves J. Decady

Statistics Canada

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.

Key Words: Keywords: relative importance • normalized Pratt measures • asymptotic variances • Bonferroni intervals • simultaneous confidence intervals

Journal of Educational and Behavioral Statistics, Vol. 32, No. 1, 61-91 (2007)
DOI: 10.3102/1076998606298037


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