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Multiple Regression Analysis: y + X + X + - . - X + U
Multiple Regression Analysis: y + X + X + - . - X + U
4. Further Issues
yˆ ˆ1 2 ˆ 2 x x, so
yˆ ˆ
1 2 ˆ 2 x
x
R 2
1
SSR n k 1
SST n 1
ˆ 2
1
SST n 1
Economics 20 - Prof. Anderson 12
Adjusted R-Squared (cont)
It’s easy to see that the adjusted R2 is just
(1 – R2)(n – 1) / (n – k – 1), but most
packages will give you both R2 and adj-R2
You can compare the fit of 2 models (with
the same y) by comparing the adj-R2
You cannot use the adj-R2 to compare
models with different y’s (e.g. y vs. ln(y))
Var yˆ
2
0 2 0 0
ˆ 2 2
E exp(u ) exp( 2) if u ~ N 0, 2
In this case can predict y as follows
yˆ exp ˆ 2 exp ln̂ y
2