SCHOOL OF BUSINESS WORKING PAPER NO. 284 SUBSET SELECTION IN MULTIPLE LINEAR REGRESSION: A NEW MATHEMATICAL PROGRAMMING APPROACH Riza Demirer and Burak Eksioglu July 1998 † School of Business University of Kansas Summerfield Hall Lawrence, KS 66045-2003. riza@ukans.edu Department of Industrial Engineering University of Florida 303 Weil Hall Gainesville, FL 32611. burak@grove.ufl.edu † Comments and suggestions are welcome and will be gratefully appreciated.