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The Hot Air in R 2 and Consistent Measures of Explained Variation
Author(s) -
McGuirk Anya M.,
Driscoll Paul
Publication year - 1995
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1243542
Subject(s) - goodness of fit , variation (astronomy) , mathematics , statistics , variable (mathematics) , econometrics , physics , mathematical analysis , astrophysics
The size of R 2 and R̅ 2 are poor specification indicators since correctly specified models can have “low” R 2 values and misspecified models often have “high” R 2 values. Further, R 2 and R̅ 2 , as typically calculated, are found to be inconsistent measures of goodness of fit whenever the mean of the dependent variable is not stationary. Consistent estimation methods are proposed.