Mean and variance of \(R^ 2\) in small and moderate samples (Q1822189): Difference between revisions
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Revision as of 03:21, 20 March 2024
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English | Mean and variance of \(R^ 2\) in small and moderate samples |
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Mean and variance of \(R^ 2\) in small and moderate samples (English)
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1987
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We derive and use easily computable expressions for the mean and variance of \(R^ 2\) in the standard linear regression model with fixed regressors. In respect to its probability limit \(R^ 2\) is seriously biased upward in small samples; the 'adjusted' \(\bar R{}^ 2\) does much better. But at sample sizes where these distinctions matter both measures are thoroughly unreliable because of their large dispersion. \(R^ 2\) should not be quoted for samples of less than fifty observations.
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small sample properties
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R square statistic
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adjusted R square
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measures of goodness of fit
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upward bias
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mean
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variance
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