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

 From Marcello Pagano <[email protected]> To [email protected] Subject Re: st: Re: confidence intervals on r-squared Date Tue, 16 Oct 2007 06:33:23 -0400

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
whether you can improve it, and so forth.

Nick
[email protected]

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?

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/