The Hot Air in R 2 and Consistent Measures of Explained Variation

The size of R 2 and R̅ 2 are poor specification indicators since correctly specified models can have “low” R 2 values and misspecified models often have “high” R 2 values. Further, R 2 and R̅ 2 , as typically calculated, are found to be inconsistent measures of goodness of fit whenever the mean of t...

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Bibliographic Details
Published in:American journal of agricultural economics 1995-05, Vol.77 (2), p.319-328
Main Authors: McGuirk, Anya M., Driscoll, Paul
Format: Article
Language:English
Subjects:
Agricultural economics
Air
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Summary:The size of R 2 and R̅ 2 are poor specification indicators since correctly specified models can have “low” R 2 values and misspecified models often have “high” R 2 values. Further, R 2 and R̅ 2 , as typically calculated, are found to be inconsistent measures of goodness of fit whenever the mean of the dependent variable is not stationary. Consistent estimation methods are proposed.
ISSN:0002-9092
1467-8276
DOI:10.2307/1243542