Iterative regression

Cross Validated Asked by Baron Yugovich on January 1, 2022

What’s the correct term for regression where you first regress on one input variable (feature), take the errors, regress on the next feature, etc.? In what specific cases is this useful? Are there any references for this technique?

More specifically, I am talking about regressing $y$ on $x_1$, then regressing $(y-b_1times x_1)$ on $x_2$, etc. This is because each $x$ is a time series, and needs to be sampled differently, so I cannot take them all as inputs to the regression at the same time.

references regression terminology

2 Answers

Are you talking about 'step-wise regression'? However, in step-wise regression, we regress response on one variable, then we regress response on the new selected variable as well as the previous variable, i.e. regress response on two variables. Next, we regress response on three variables and so on.

Answered by user4704857 on January 1, 2022

Taking some liberties, you are probably talking about the instrumental variable techniques, or IV. They are used to help argue causality and to control for endogenous variables. Commonly part of econometrics.

Alternatively, you may be thinking of the FWL theorem

Answered by RegressForward on January 1, 2022

Iterative regression

2 Answers

Add your own answers!

Related Questions

Number of samples and R^2

Linear regression is a estimation of conditional expectation?

What is the correct way of adding bias terms in the residuals of the linear regression model?

Does correlation between residuals of ARIMA models for two time series tell anything about how they fluctuate together?

Precision vs. Accuracy when talking about MSE

How to run svy: regress in R or get R-squared in R for complex survey data

Loss function for regression with uncertain labels

Classification with noisy labels, noise is structured and not random

Error propagation in an equation without an analytical solution

Calculating the Hazard Ratio for a Cox-regression model stratified by a variable (R)

Normalizing zero inflated predictors for multiple regression

Should we always calculate the z in a confidence interval as 1 – (alpha/2)?

What are the contours lines on the Cook’s list vs Leverage h_ii / (1-h_ii) plot?

How to define and plot a distribution function in python?

Should multivariate time series by normalized in any way before fitting a VAR model?

Sample Size Calculation – Two Independent Means

Unbiased estimatior for $bar{x} $ from a Random Sample with unequal selection probability

How the concordance index is calculated in Cox model if the actual event times are not predicted?

How to estimate the leafsize of the kd-tree?

Understanding the Stata margins command on dichotomous variables

Ask a Question