Question: Consider a k-variables linear regression model, i.e., Y=X 131 +X2 32 + E, Where, X is (N.k1 ), X is (N. K), and k

Consider a k-variables linear regression model, i.e., Y=X 131 +X2 32 + 

 

Consider a k-variables linear regression model, i.e., Y=X 131 +X2 32 + E, Where, X is (N.k1 ), X is (N. K), and k = k + kz. As you may recall, adding columns to the X matrix (including additional regressors in the model) gives a positive definite increase in R. The adjusted R attempts to avoid this phenomenon of ever-increasing R. Show that the additional k number of variables (regressors) in this model increases R if the calculated F-statistic in testing the joint statistical significance of coefficients of these additional regressors (B) is larger than one.

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ANSWER The coefficient of determination R2 measures the proportion of variation in the dependent variable Y that is explained by the independent varia... View full answer

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