A Note on the Use of R-squared in Model Selection
| Autor: | Alfredo A. Romero |
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| Rok vydání: | 2007 |
| Předmět: | |
| Popis: | The use of R-squared in Model Selection is a common practice in econometrics. The rationale is that the statistic produces a consistent estimator of the true coefficient of determination for the underlying data while taking into consideration the number of variables involved in the model. This pursuit of parsimony comes with a cost: The researcher has no control over the error probabilities of the statistic. Alternative measures of goodness of fit, such as the Schwarz Information Criterion, provide only a marginal improvement to the problem. The F-Test under the Neyman-Pearson testing framework will provide the best alternative for model selection criteria. |
| Databáze: | OpenAIRE |
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