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The Hot Air in R2 and Consistent Measures of Explained Variation

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  • Anya M. McGuirk
  • Paul Driscoll

Abstract

The size of R2 and R̅2 are poor specification indicators since correctly specified models can have "low" R2 values and misspecified models often have "high" R2 values. Further, R2 and R̅2, as typically calculated, are found to be inconsistent measures of goodness of fit whenever the mean of the dependent variable is not stationary. Consistent estimation methods are proposed.

Suggested Citation

  • Anya M. McGuirk & Paul Driscoll, 1995. "The Hot Air in R2 and Consistent Measures of Explained Variation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 77(2), pages 319-328.
    • Handle: RePEc:oup:ajagec:v:77:y:1995:i:2:p:319-328.
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    File URL: http://hdl.handle.net/10.2307/1243542
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    Cited by:

    1. Feng, Xudong & Chern, Wen S., 2000. "Demand For Healthy Food In The United States," 2000 Annual meeting, July 30-August 2, Tampa, FL 21857, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Tomek, William G., 2000. "Commodity Prices Revisited," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 29(2), pages 1-13, October.

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