On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables

B-Tier
Journal: Econometric Theory
Year: 1993
Volume: 9
Issue: 3
Pages: 504-515

Authors (2)

Ohtani, Kazuhiro Hasegawa, Hikaru (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate t errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the adjusted coefficient of determination can be more unreliable in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.

Technical Details

RePEc Handle
repec:cup:etheor:v:9:y:1993:i:03:p:504-515_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-26