Reply to 'A Comment on a New Measure of Predictor Variable Importance in Multiple Regression'

In lieu of Abstract, here is the first paragraph: Jackson provides a clear statement of a basic (and noncontroversial) limitation of all "importance" measures in multiple regression-namely, there is no unambiguous measure of importance in the case of correlated predictor variables. Darlington (1968) presented this same caveat more than a decade ago and some of our own publications have emphasized it as well (Green and Tull, 1978; Green with Carroll, 1978). Amemiya (1976) came to this same conclusion in his econometric investigation of regressor selection