The two regressions Y = β₀ + β₁X₁ + β₂X₂ + β₃X₃ + β₄X₄ + ε and Y = β₀ + β₁X₁ + β₂X₂ + ε were run using a sample of 60 observations.If the SSE for the first regression is 1,688.4,what would you expect the SSE for the second regression be?

Question

Quizplus · Accepted Answer

The Sum of Squared Errors (SSE) is expected to increase or remain the same when variables are removed from a regression model, as the model's ability to explain the variability in the dependent variable decreases or remains unchanged. The second regression has fewer explanatory variables than the first, so its SSE cannot be lower.

The Two Regressions Y = β0 + β1X1 + β2X2

The Two Regressions Y = β₀ + β₁X₁ + β₂X₂