A sample of 25 observations is used to fit a regression model in seven variables. The estimate of σ2 for this full model is MSE = 10.
(a) A forward selection algorithm has put three of the original seven regressors in the model. The error sum of squares for the three-variable model is SSE 300.
Based on Cp, would you conclude that the three-variable model has any remaining bias?
(b) After looking at the forward selection model in part (a), suppose you could add one more regressor to the model. This regressor will reduce the error sum of squares to 275. Will the addition of this variable improve the model? Why? Supplemental Exercises