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st: Re: confidence intervals on r-squared
Marcello indicates that one can indeed provide confidence intervals
for the r^2 statistic. My point is that as one can arbitrarily
increase r^2 by tossing anything lying around (e.g. interactions,
polynomial terms, anything not completely random) into the
regression, you can with probability 1 place r^2=1 in such a
confidence interval. But what does that mean? I agree with Nick.
"Improving your model" is not a matter of maximizing r^2 (we all know
how to do that without any reference to the underlying discipline-
specific theory). The model should be a tradeoff between explanatory
power and parsimony, and r^2 is not made for that objective. Adjusted
r^2, although imperfect, at least penalizes the inclusion of lots of
junk.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Oct 16, 2007, at 2:33 AM, statalist-digest wrote:
Oblique answer: You can do this, but it is better
to devote the surplus energy you would spend on it
thinking about the interpretation of your model,
whether you can improve it, and so forth.
Nick
[email protected]
Marcello Pagano
Correct answer: R-squared is a statistic around which you can set a
confidence interval. It is just somewhat complicated to give the
general formula, although it is available in particular cases.
Which case are you interested in?
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