Adjusted R2 is defined as

where s2 is the estimated conditional variance and s2y is the sample variance of y, both of which are unbiased. This relates to ordinary R2 by

(a) Suppose R2 = 0.339 for a model with p = 2 explanatory variables, as in Table 11.5.

Find R2 adj when n = 10, 40 (as in the text example), and 1000. Show that R2 adj approaches R2 in value as n increases.

(b) Show that R2 adj

Transcribed Image Text:

R2 adj =1