I. Review:
The general linear model can be interpreted as
investigating how well an observed nx1 vector, y, can be
regressor matrix.
2.
,
I
SSE
"P-'
P' '
n l
(e.g.
.).
n
beta
1246
1. Uncorrected models:
Since it is siightly Simpler, first consider a model not
adjusted for !he intercept. Then, since sums 01 squares
are uncorrected, writing Px as the projection onto the
the
columns
of
X.
subspace
spanned
by
Px =X (X' xr' X',
yy.
Il' B l!
1\' B Il +0"
Figure 2.
L~2
Il' B 6= nlim_ ...!::2.-,
n
"
Yet Ihe predicted values, fis, are most certainly nol doing
a good job of predicting the observed values. Of course,
in this case, any linear function of the observed x's will
give an R~ = 1. It is slightiy more complicated lor multiple
l'}.
~~~,
2. Corrected models:
by default, using
..
SSTc
0"
n
= lL,
of l's, P,
Var( X'i)=
can
iY.-y'P,y
.,
X'X.)
~k = ft'J<'X a f!!
1247
-0
-> Il'BaO = 0
-
y.'Y.-YP,~
xtp X
As n gets large, with --'-->Bo, say, then,
n
. yip ,?i
.
1l'X'P ,Xll lltXtj j'e
pllm--=pllm(
+
~+
kk- )
n n
= lltBoil
fttBll- ft'Boil
fttB'1l
Thus,plimR - t
t.R
2 RtB'R+"
II Bft -ll B"" + a " " (ywhere. now, B' is the limiting, centered matrix of
regression coefficients, corresponding to a moment
malrix of the regressors. Thus R' will be 'large" if if is
small (i.e. good fit). Of ifllt B"1l. is large (Le. large variation
among mean values).
2
L ('" interpreted
as
p:(n) f
lim ~;"""'--::---
n~
basically.
the
R' =1-(l-R').!!:!E.,
pc
np
designed to correct still further for the tendency of even
R~q to choose models with many variables. But again,
Ihese have the same asymptotic behavior as R'.
1248
REFERENCES
Amemiya,
T.
(1985),
Advanced Econometrics.
Cambridge. Massachusetts: Harvaro University Press.
Barrett. J.P. (1974). "The Coefficient 01 Detenninalion Some Limitations", The American Statistician. 28.
19-20.
Chang. P.C. and Alift. A.C. (1987) "Goodness 01 Fit
Statistics for General Linear Regression Equations in
the Presence of Replicated Response". The American
Statistician. 41.195-199.
Crocker, D.C. (1972). "Some Interpretations of the
Multiple Correlation Coefficient", The American
Staustfcian, 26. 31-33.
Draper. N.R. (1984). "The Box-Wetz Criterion Versus R2".
Journal of the Royal Statistical SOCiety, Series A. 147,
101H03.
Draper. N.R. (1985). 'Corrections: The Box-Wetz
Criterion Versus R2". Joumat of /he Royal Statistical
Society, Series A. 148. 357.
Draper. N.R. and Smith. H. (1981). Applied Regression
Analysis. 2nd Ed. New York: Wiley.
Heaty. M.J.R. (1984). "TheUse 01 R2 as a Measure 01
Goodness 01 Fit". Joumat of the Royat Statislical
SOciety. SeriesA. 147.608-609.
Kvalselh. T.O. (1985). "Cautionary Note about R" The
American Statistician. 39, 279285.
Ranney. G.B. and Thigpen. C.C. (19Bl) "The Sample
Coefficient of Determination in Simple linear
Regression-. The American Statistician, 35, 152-153.
Seber, GAF. (1977). Linear Regression Analysis. New
York: Wiley.
Theil. H. and Chung. C.-F. (198B) "Inlonnation-Theoretic
Measures 01 Fit for Univariate and Multivariate linear
Regression". The American Staastician. 42. 249-252.
Willett, J.B. and Singer. J.B. (1988). "Another Cautionary
Note about R2: Its Use in Weighted Regression
Analysis". The American Statistician, 42236-238.
1249