On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables

Kazuhiro Ohtani and Hikaru Hasegawa

Econometric Theory, 1993, vol. 9, issue 03, pages 504-515

Abstract: In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate t errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the adjusted coefficient of determination can be more unreliable in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.

Date: 1993
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