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Full-Text Articles in Econometrics
The Principal Problem With Principal Components Regression, Heidi Margaret Artigue, Heidi Margaret Artigue
The Principal Problem With Principal Components Regression, Heidi Margaret Artigue, Heidi Margaret Artigue
Pomona Faculty Publications and Research
Principal components regression (PCR) reduces a large number of explanatory variables down to a small number of principal components. PCR is thought to be more useful, the more numerous the potential explanatory variables. The reality is that a large number of candidate explanatory variables does not make PCR more valuable; instead, it magnifies the failings of PCR.