A choice of the regression maximizing an unbiased estimate of the coefficient of determination

Emil Ershov ()
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Emil Ershov: Higher School of Economics, Moscow, Russia

Applied Econometrics, 2008, vol. 12, issue 4, 71-83

Abstract: A form for an unbiased estimate of the coefficient of determination of a linear regression model is obtained. It is calculated by using a sample from a multivariate normal distribution. This estimate is proposed as an alternative criterion for a choice of regression factors

Keywords: coefficient of determination; unbiased estimate (search for similar items in EconPapers)
JEL-codes: C31 C52 (search for similar items in EconPapers)
Date: 2008
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