Bootstrapping R2 and adjusted R2 in regression analysis

Economic Modelling

Volumn 17, Issue 4, 2000, Pages 473-483

  Ohtani, Kazuhiro ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

Adjusted R2; Bootstrap; Confidence interval; Precision; R2

Indexed keywords

EID: 0034388693     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0264-9993(99)00034-6     Document Type: Article

References (23)

1. Adkins, L.C., 1992. Finite sample moments of a bootstrap estimator of the James-Stein rule. Econometric Rev. 11, 173-193.
2. Brownstone, D., 1990. Bootstrapping improved estimators for linear regression models. J. Econometrics 44, 171-187.
3. 2 when regression disturbances are autocorrelated. Econ. Lett. 38, 375-380.
4. Chi, X.E., Judge, G.G., 1985. On assessing the precision of stein's estimator. Econ. Lett. 18, 143-148.
5. 2 in small and moderate samples. J. Econometrics 35, 253-266.
6. Efron, B., 1979. Bootstrap methods: Another look at the jackknife. Ann. Stat. 7, 1-26.
7. 2 in regression analysis. Biometrics 43, 61-69.
8. James, W., Stein, C., 1961. Estimation with quadratic loss. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability 1. University of California Press, Berkeley, pp. 361-379.
9. Jeyaratnam, S., 1992. Confidence intervals for the correlation coefficient. Stat. Probability Lett. 15, 389-393.
10. Judge, G.G., Yancey, T.A., 1986. Improved Methods of Inference in Econometrics. North-Holland, Amsterdam.
11. Koerts, J., Abrahamse, A.P.J., 1970. The correlation coefficient in the general linear model. Eur. Econ. Rev. 1, 401-427.
12. Kramer, K.H., 1963. Tables for constructing confidence limits on the multiple correlation coefficient. J. Am. Stat. Assoc. 58, 1082-1085.
13. Lee, Y.-S., 1972. Tables of upper percentage points of the multiple correlation coefficient. Biometrika 59, 175-189.
14. 2 in a misspecified regression model with stochastic regressors. Econ. Lett. 40, 1-6.
15. 2, and their risk performance under asymmetric loss in misspecified linear regression models. Econ. Modell. 11, 463-471.
16. 2 in a linear regression model with multivariate t errors and proxy variables. Econometric Theory 9, 504-515.
17. Press, S.J., Zellner, A., 1978. Posterior distribution for the multiple correlation coefficient with fixed regressors. J. Econometrics 8, 307-321.
18. Press, W.H., Teukolsky, S.A., Vetterling, W.T., Flannery, B.P., 1986. Numerical Recipes. Cambridge University Press, Cambridge.
19. 2 in best subset regression. Technometrics 22, 49-53.
20. Srivastava, A.K., Ullah, A., 1995. The coefficient of determination and its adjusted version in linear regression models. Econometric Rev. 14, 229-240.
21. Stein, C, 1956. Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability. University of California Press, Berkeley, pp. 197-206.
22. Wu, C.F.J., 1986. Jackknife, bootstrap and other resampling methods in regression analysis. Ann. Stat. 14, 1261-1295.
23. Yi, G., 1991. Estimating the variability of the stein estimator by bootstrap. Econ. Lett. 37, 293-298.