Efficient Calculation of All Possible Regressions

Abstract

When the number of contemplated independent variables in a regression analysis is reasonably small, an alternative to the use of step-wise procedures for selecting variables is to base the selection on the calculation of all possible regressions. This paper describes efficient computational procedures for calculating all possible 2 k − 1 regressions of a dependentv ariable upon subsets of k independent variables, and provides efficiency comparisons among five different procedures.