Equation Statistics (REGRESSION command)

R. Multiple R. R includes R 2, adjusted R 2, and standard error of the estimate displayed in the Model Summary table.

ANOVA. Analysis of variance table. This option includes regression and residual sums of squares, mean square, F, and probability of F displayed in the ANOVA table.

CHANGE. Change in R 2. This option includes the change in R 2 between steps, along with the corresponding F and its probability, in the Model Summary table. For each equation, F and its probability are also displayed.

BCOV. Variance-covariance matrix for unstandardized regression coefficients. The statistics are displayed in the Coefficient Correlations table.

XTX. Swept correlation matrix.

COLLIN. Collinearity diagnostics 1. COLLIN includes the variance-inflation factors (VIF) displayed in the Coefficients table, and the eigenvalues of the scaled and uncentered cross-products matrix, condition indexes, and variance-decomposition proportions displayed in the Collinearity Diagnostics table.

SELECTION. Selection statistics. This option includes Akaike information criterion (AIK), Ameniya’s prediction criterion (PC), Mallows conditional mean squared error of prediction criterion (Cp), and Schwarz Bayesian criterion (SBC) 2. The statistics are displayed in the Model Summary table.

1 Belsley, D. A., E. Kuh, and R. E. Welsch. 1980. Regression diagnostics: Identifying influential data and sources of collinearity. New York: John Wiley and Sons.
2 Judge, G. G., W. E. Griffiths, R. C. Hill, H. Lutkepohl, and T. C. Lee. 1980. The theory and practice of econometrics, 2nd ed. New York: John Wiley and Sons.