ON SMALL SAMPLE PROPERTIES OF R(2) IN A LINEAR-REGRESSION MODEL WITH MULTIVARIATE-T ERRORS AND PROXY VARIABLES

Authors
OHTANI K HASEGAWA H
Citation
K. Ohtani et H. Hasegawa, ON SMALL SAMPLE PROPERTIES OF R(2) IN A LINEAR-REGRESSION MODEL WITH MULTIVARIATE-T ERRORS AND PROXY VARIABLES, Econometric theory, 9(3), 1993, pp. 504-515
Citations number
21
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
9
Issue
3
Year of publication
1993
Pages
504 - 515
Database
ISI
SICI code
0266-4666(1993)9:3<504:OSSPOR>2.0.ZU;2-N
Abstract
In this paper we consider the small sample properties of the coefficie nt of determination in a linear regression model with multivariate t e rrors when proxy variables are used instead of unobservable regressors . The results show that if the unobservable variable is an important v ariable, the adjusted coefficient of determination can be more unrelia ble in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.