Mean and variance of R^ 2 in small and moderate samples

DOI10.1016/0304-4076(87)90027-3MaRDI QIDQ1822189zbMATH OpenOpenAlexWikidataFDO

Authors 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

adjusted R squaremeanmeasures of goodness of fitR square statisticsmall sample propertiesupward biasvariance

Mathematics Subject Classification ID

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

Review text

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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Cites work

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Cited in

(26)

• The exact distribution of R^ 2 when the regression disturbances are autocorrelated
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• Statistical inference of some effect sizes
• Goodness of fit in nonparametric regression modelling
• The small sample properties of \(R^ 2\) in a misspecified regression model with stochastic regressors
• On efficiency properties of an R-square coefficient based on final prediction error
• Coefficient of determination for multiple measurement error models
• On the properties of the coefficient of determination in regression models with infinite variance variables
• Pitman Nearness and Concentration Probability Comparisons of the Sample Coefficient of Determination and Its Adjusted Version in Linear Regression Models
• Effect of Sample Size on the Size of the Coefficient of Determination in Simple Linear Regression
• scientific article; zbMATH DE number 2147764 (Why is no real title available?)
• Exact Distributions of <i>R²</i> and Adjusted <i>R²</i> in a Linear Regression Model with Multivariate <i>t</i> Error Terms
• Pitman Nearness Comparison of the Traditional Estimator of the Coefficient of Determination and Its Adjusted Version in Linear Regression Models
• On the Interpretation and Use of R 2 in Regression Analysis
• Goodness of fit in the linear model without a constant term
• The coefficient of determination and its adjusted version in linear regression models
• Comparing approximations to the expectation of a ratio of quadratic forms in normal variables
• An \(R^2\) statistic for covariance model selection in the linear mixed model
• Some applications of multinominal theorem in solving algebraic expressions under linear models
• Goodness of fit for generalized shrinkage estimation
• The estimation ofR²and adjustedR²in incomplete data sets using multiple imputation
• scientific article; zbMATH DE number 3104683 (Why is no real title available?)
• Goodness of fit in restricted measurement error models
• Geometric goodness of fit measure to detect patterns in data point clouds
• Pitfalls of the concordance index for survival outcomes
• Forecast Error Variance Decompositions with Local Projections

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