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

DOI10.1016/0304-4076(87)90027-3zbMATH Open0617.62117OpenAlexW2075007695WikidataQ60016595 ScholiaQ60016595MaRDI QIDQ1822189FDOQ1822189

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (26)

• An \(R^2\) statistic for covariance model selection in the linear mixed model
• On efficiency properties of an \(R\)-square coefficient based on final prediction error
• Coefficient of determination for multiple measurement error models
• Pitman Nearness Comparison of the Traditional Estimator of the Coefficient of Determination and Its Adjusted Version in Linear Regression Models
• The coefficient of determination and its adjusted version in linear regression models
• Statistical inference of some effect sizes
• Exact Distributions of <i>R²</i> and Adjusted <i>R²</i> in a Linear Regression Model with Multivariate <i>t</i> Error Terms
• The estimation ofR²and adjustedR²in incomplete data sets using multiple imputation
• Goodness of fit in the linear model without a constant term
• The small sample properties of \(R^ 2\) in a misspecified regression model with stochastic regressors
• Pitfalls of the concordance index for survival outcomes
• Some applications of multinominal theorem in solving algebraic expressions under linear models
• Comparing approximations to the expectation of a ratio of quadratic forms in normal variables
• Title not available (Why is that?)
• Forecast Error Variance Decompositions with Local Projections
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• Goodness of fit for generalized shrinkage estimation
• The exact distribution of \(R^ 2\) when the regression disturbances are autocorrelated
• On the Interpretation and Use of R 2 in Regression Analysis
• Title not available (Why is that?)
• Goodness of fit in nonparametric regression modelling
• Effect of Sample Size on the Size of the Coefficient of Determination in Simple Linear Regression
• Geometric goodness of fit measure to detect patterns in data point clouds
• Goodness of fit in restricted 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

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