On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables
On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables
复制标题
具有多元t误差和代理变量的线性回归模型中R2的小样本性质
DOI：
10.1017/s0266466600007805
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发表时间：
1993
影响因子：
0.8
通讯作者：
Hikaru Hasegawa
中科院分区：
文献类型：
--
作者：
K. Ohtani;Hikaru Hasegawa
本文研究了具有多元t误差的线性回归模型中，当用代理变量代替不可观测回归变量时，决定系数的小样本性质。结果表明，当不可观测变量是重要变量时，在小样本情况下，调整后的决定系数从偏倚和均方误差两个角度来看都比未调整的决定系数更不可靠。
In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate t errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the adjusted coefficient of determination can be more unreliable in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.