Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: re: confidence intervals on r-squared


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: re: confidence intervals on r-squared
Date   Tue, 16 Oct 2007 07:32:03 -0400

Marcello says

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.

Silly, perhaps. But I also think talking about 'which r^2' is a bit silly. r^2 is a distinct concept: the squared Pearson correlation between observed and predicted. Marcello is certainly correct in suggesting that we _could_ speak of a confidence interval around a correlation coefficient. Strangely enough a significance level cannot be produced by -correlate-, although it can by -pwcorr-. There is, as Nick Cox points out, an entire bestiary of R^2-type measures, pseudo- r^2s, r^2 from a model lacking a constant term, etc. But when we speak of r^2 arising from linear regression with a constant term included I don't think there is room for disagreement about "which one".

Of course, what you may observe in this dialogue is the difference between a real statistician and a nominal statistician. Marcello has a much stronger claim on the subject than do I. I just use the stuff.

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


*
* 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/




© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index