If you specify a Validation column with two or three values, Stepwise fits models based on the training set. Model fit statistics are reported for the validation and test sets. See Validation and Test Set Statistic Definitions for details on how these statistics are defined.
Note: Max Validation RSquare considers only the models defined by pvalue entry (Forward direction) or removal (Backward direction). It does not consider all possible models.
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Note: In the Fit Least Squares Crossvalidation report, the entries in the RASE (Root Average Squared Error) column for the Validation Set and Test Set are the RMSE Validation and RMSE Test values computed in the Stepwise report. See RASE.
An Entropy RSquare measure (also known as McFadden’s R2) for the validation set computed as follows:
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