Variable Selection in Multivariate Regression : An Application of Simultaneous Test Procedures

Summary Simultaneous procedures for variable selection in multiple linear regression have recently been given by Aitkin. One of these procedures, proposed for the case when the regression equation is to be used for descriptive purposes, is an application of each of a number of simultaneous procedures concerned with the multivariate general linear model and given by Gabriel with applications in the manova context. The applications of Gabriel's procedures to multivariate linear regression are presented here and illustrated as generalizations of Aitkin's technique.