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Wharton

Department of Statistics

22

Our Choices

Structure

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Linear regression with nonlinearity via interactions

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All 2-way and some 3-way, 4-way interactions

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Missing data handled with indicators

Identification

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Conservative standard error

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Comparison of conservative t-ratio to adaptive threshold

Search

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Forward stepwise regression

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Coming: Dynamically changing list of features

Good choice affects where you search next.

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