Dropping an independent variable from a multiple linear regression model will always result in: A)An increase in the MSE value B)An increase in the R²value C)A decrease in the R²value D)A decrease in the MSE value E)A decrease in the value of the F test statistic

Question

Quizplus · Accepted Answer

Dropping an independent variable from a multiple linear regression model will result in a decrease in the R² value (also known as the R-squared value), as the model will explain less of the variation in the dependent variable. It is possible that the MSE value (mean squared error) might increase or decrease depending on the specific model and the variable being dropped. The F test statistic value might also increase or decrease depending on the specific model and the variable being dropped. Hence, options A, B, D, and E are not always true.

Dropping an Independent Variable from a Multiple Linear Regression Model