Physical Sciences and Mathematics Commons^™

A Monte Carlo Analysis Of Ordinary Least Squares Versus Equal Weights, James Brewer Ayres

Masters Theses & Specialist Projects

Equal weights are an alternative weighting procedure to the optimal weights offered by ordinary least squares regression analysis. Also called units weights, equal weights are formed by standardizing scores on the predictor variables and averaging these standardized scores to create a composite score. Research is limited regarding the conditions under which equal weights result in cross-validated 𝑅𝑅2 values that meet or exceed optimal weights. In this study, I explored the effect of various predictor-criterion correlations, predictor intercorrelations, and sample sizes to determine the relative performance of equal and optimal weighting schemes upon cross-validation. Results indicated that optimally weighted predictors explained …