Using JMP Student Edition, Third Edition

9 Stepwise Regression The Stepwise Report 219

9 Stepwise Regression

The Model Averaging Option

The model averaging technique enables you to average the fits for a number of models, instead of pick-

ing a single best model. The result is a model with excellent prediction capability. This feature is partic-

ularly useful for new and unfamiliar models that you do not want to overfit. When many terms are

selected into a model, the fit tends to inflate the estimates. Model averaging tends to shrink the esti-

mates on the weaker terms, yielding better predictions. The models are averaged with respect to the

AICc weight, calculated as follows:

AICcBest is the smallest AICc value among the fitted models. The AICc Weights are then sorted in

decreasing or ...