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

Published online by Cambridge University Press:  11 February 2009

Kazuhiro Ohtani  and
Hikaru Hasegawa
Kazuhiro Ohtani
Affiliation:
Kobe University
Hikaru Hasegawa
Affiliation:
Hokkaido University
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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.

Type
Miscellanea
Information
Econometric Theory , Volume 9 , Issue 3 , June 1993 , pp. 504 - 515
Copyright
Copyright © Cambridge University Press 1993

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