In a regression setting, which of the following, if any, is true?
A) If you add a predictor variable to an existing model, the value ofwill either remain the same or increase. However, in selecting a model, you should consider the value of the adjustedas well as.
B) You should always select the model with the largest.
C) You should select a model where all the regression coefficients have p-values greater than 0.05.
D) All of these.
E) None of these.

Question

Quizplus · Accepted Answer

A is true as adding a predictor variable can either improve the model or not change it, but the adjusted R-squared should also be considered in model selection. 
B is false as selecting the model with the largest R-squared may lead to overfitting and poor out-of-sample performance. 
C is false as p-values should not be the sole determinant for variable selection, and a significance level of 0.05 may not be appropriate in all cases.

In a Regression Setting, Which of the Following, If Any