Selecting Regressors for Prediction Using PRESS and WhitetStatistics
证明基于预测误差平方和选择回归变量与使用White异方差稳健协方差矩阵进行假设检验渐近等价，模拟实验和实例表明该渐近关系有实用价值。
It is shown that selecting regressors based on the prediction error sum of squares is asymptotically related to hypothesis testing with White's (1980) heteroscedasticity-consistent covariance matrix. A simulation experiment suggests that this asymptotic relation may be useful. Illustrative examples are also given.