Mean and variance of \(R^ 2\) in small and moderate samples

DOI10.1016/0304-4076(87)90027-3zbMath0617.62117OpenAlexW2075007695WikidataQ60016595 ScholiaQ60016595MaRDI QIDQ1822189

Jan S. Cramer

Publication date: 1987

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90027-3

zbMATH Keywords

meanvariancesmall sample propertiesadjusted R squaremeasures of goodness of fitR square statisticupward bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (18)

Pitman Nearness and Concentration Probability Comparisons of the Sample Coefficient of Determination and Its Adjusted Version in Linear Regression Models ⋮ Moments of the ratio of quadratic forms in non-normal variables with econometric examples ⋮ An R² statistic for covariance model selection in the linear mixed model ⋮ The small sample properties of \(R^ 2\) in a misspecified regression model with stochastic regressors ⋮ Statistical inference of some effect sizes ⋮ Goodness of fit in the linear model without a constant term ⋮ The coefficient of determination and its adjusted version in linear regression models ⋮ Goodness of fit for generalized shrinkage estimation ⋮ On efficiency properties of an \(R\)-square coefficient based on final prediction error ⋮ Coefficient of determination for multiple measurement error models ⋮ The estimation ofR²and adjustedR²in incomplete data sets using multiple imputation ⋮ Geometric goodness of fit measure to detect patterns in data point clouds ⋮ Comparing approximations to the expectation of a ratio of quadratic forms in normal variables ⋮ Goodness of fit in nonparametric regression modelling ⋮ The exact distribution of \(R^ 2\) when the regression disturbances are autocorrelated ⋮ Pitman Nearness Comparison of the Traditional Estimator of the Coefficient of Determination and Its Adjusted Version in Linear Regression Models ⋮ Unnamed Item ⋮ Goodness of fit in restricted measurement error models

Cites Work

• Posterior distribution for the multiple correlation coefficient with fixed regressors
• The Selection of Variates for Use in Prediction with Some Comments on the General Problem of Nuisance Parameters
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