Re: st: Re: confidence intervals on r-squared

[Marcello Pagano <pagano@hsph.harvard.edu>]

Unless, of course, you use an r^2 that accounts for the number of 
covariates you include. That is why I asked about which r^2 you are 
interested in. To say that "R-squared is not a statistical concept." is 
silly.

m.p.

On 10/16/2007 6:09 AM, Kit Baum wrote:

> 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
> > n.j.cox@durham.ac.uk
> >
> > 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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