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September 06, 2007
What is a good regression?
Should we rank regressions by their R-squareds? How about looking for high t ratios?
The R-squared is defined as follows:
These pictures show generic covariances. The covariance at the top is zero by construction. This is an important property of regression results, and it is prominent in the R-squared derivation above.
Is a high R-squared from a regression of height in centimeters on height in inches better that a more modest R-squared for a regression of weight in pounds on height in inches?
A little review of hypothesis testing from Econ 70:
Posted by bparke at September 6, 2007 10:46 PM