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How many bits of information does an independent variable yield in a multiple regression?

Author

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  • Theil, Henri

Abstract

A simple measure from statistical information theory is proposed to measure the contribution of each independent variable in a multiple regression.

Suggested Citation

  • Theil, Henri, 1987. "How many bits of information does an independent variable yield in a multiple regression?," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 107-108, November.
    • Handle: RePEc:eee:stapro:v:6:y:1987:i:2:p:107-108
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    Citations

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    Cited by:

    1. Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
    2. Soofi, E. S. & Retzer, J. J., 2002. "Information indices: unification and applications," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 17-40, March.
    3. Keating, Elizabeth K. & Lys, Thomas Z. & Magee, Robert P., 2003. "Internet downturn: finding valuation factors in Spring 2000," Journal of Accounting and Economics, Elsevier, vol. 34(1-3), pages 189-236, January.
    4. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    5. Bixia Xu & Michel L. Magnan & Paul E. André, 2007. "The Stock Market Valuation of R&D Information in Biotech Firms," Contemporary Accounting Research, John Wiley & Sons, vol. 24(4), pages 1291-1318, December.
    6. Alessandro Mechelli & Riccardo Cimini & Francesca Mazzocchetti, 2015. "Is regulatory capital more value relevant than book value of equity? A cross-country analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 900-903, July.
    7. Alessandro Mechelli & Riccardo Cimini, 2014. "Is Comprehensive Income Value Relevant and Does Location Matter? A European Study," Accounting in Europe, Taylor & Francis Journals, vol. 11(1), pages 59-87, June.

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