IDEAS home Printed from https://ideas.repec.org/p/cwm/wpaper/62.html
   My bibliography  Save this paper

A Note on the Use of R-squared in Model Selection

Author

Listed:
  • Alfredo A. Romero

    (Department of Economics, College of William and Mary)

Abstract

The use of R-squared in Model Selection is a common practice in econometrics. The rationale is that the statistic produces a consistent estimator of the true coefficient of determination for the underlying data while taking into consideration the number of variables involved in the model. This pursuit of parsimony comes with a cost: The researcher has no control over the error probabilities of the statistic. Alternative measures of goodness of fit, such as the Schwarz Information Criterion, provide only a marginal improvement to the problem. The F-Test under the Neyman-Pearson testing framework will provide the best alternative for model selection criteria.

Suggested Citation

  • Alfredo A. Romero, 2007. "A Note on the Use of R-squared in Model Selection," Working Papers 62, Department of Economics, College of William and Mary.
    • Handle: RePEc:cwm:wpaper:62
    as

    Download full text from publisher

    File URL: http://economics.wm.edu/wp/cwm_wp62.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Adjusted R squared; Schwarz Information Criterion BIC; Neyman-Pearson Testing; Nonsense Correlations;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwm:wpaper:62. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Daifeng He or Alfredo Pereira (email available below). General contact details of provider: https://edirc.repec.org/data/decwmus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.