The coefficient of determination and its adjusted version in linear regression models

Authors: Anil K. Srivastava ^a; Virendra K. Srivastava ^a; Aman Ullah ^b

Affiliations:	^a Department of Statistics, Lucknow University, Lucknow, India
	^b Department of Economics, University of California, Riverside, CA, U.S.A

DOI: 10.1080/07474939508800317

Publication Frequency: 6 issues per year

Published in: journal

Econometric Reviews, Volume 14, Issue 2 1995 , pages 229 - 240

Subjects: Econometrics; Finance; Financial Mathematics; Statistics;

Formats available: PDF (English)

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Abstract

This article presents a comparative study of the efficiency properties of the coefficient of determination and its adjusted version in linear regression models when disturbances are not necessarily normal.

Keywords: Regression Models; Quadratic Forms; Coefficient of Determination (R²); Bias; Mean Squared Error; Non-Normal Errors

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The coefficient of determination and its adjusted version in linear regression models

Abstract