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Important Statistics Generated by Most Regression Programs

In: Interpreting Mathematical Economics and Econometrics

Author

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  • Byron D. Eastman

    (Laurentian University)

Abstract

Probably the first thing a researcher looks at when viewing the results of a statistical test of some theory is the coefficient of multiple determination, or R2. This statistic provides a measure of how good the theory is. By ‘good’ we mean how well the theory explains the facts. A good theory explains more than does a bad theory. But what do we mean by ‘explains more’? The coefficient of multiple determination is the measure of ‘more’ and ‘less’. It specifies how much the behaviour of something depends on something else. More exactly, the R2 states the degree to which changes in a set of causal variables generate changes in some other variable. A formal statement of the meaning of the R2 would be something like this: The coefficient of multiple determination (R2) describes the proportion of the variation in the dependent variable ‘explained’ by the variation in the independent variables.

Suggested Citation

  • Byron D. Eastman, 1984. "Important Statistics Generated by Most Regression Programs," Palgrave Macmillan Books, in: Interpreting Mathematical Economics and Econometrics, chapter 6, pages 59-94, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-17702-8_6
    DOI: 10.1007/978-1-349-17702-8_6
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